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Time-varying predictability in crude-oil markets: the case of GCC countries

Mohamed Arouri (), Thanh Huong Dinh and Duc Khuong Nguyen

Energy Policy, 2010, vol. 38, issue 8, 4371-4380

Abstract: This paper uses a time-varying parameter model with generalized autoregressive conditional heteroscedasticity effects to examine the dynamic behavior of crude-oil prices for the period February 7, 1997-January 8, 2010. Using data from four countries of the Gulf Cooperation Council, we find evidence of short-term predictability in oil-price changes over time, except for several short sub-periods. However, the hypothesis of convergence towards weak-form informational efficiency is rejected for all markets. In addition, we explore the possibility of structural breaks in the time-paths of the estimated predictability indices and detect only one breakpoint, for the oil markets in Qatar and the United Arab Emirates. Our empirical results therefore call for new empirical research to further gauge the predictability characteristics and the determinants of oil-price changes.

Keywords: Oil-price; behavior; Weak-form; efficiency; Kalman; filter (search for similar items in EconPapers)
Date: 2010
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Handle: RePEc:eee:enepol:v:38:y:2010:i:8:p:4371-4380