Do daily retail gasoline prices adjust asymmetrically?
S. A. van der Geest and
Gerard Kuper ()
Journal of Applied Statistics, 2009, vol. 36, issue 4, 385-397
This paper analyses adjustments in the Dutch retail gasoline prices. We estimate an error correction model on changes in the daily retail price for gasoline (taxes excluded) for the period 1996-2004, taking care of volatility clustering by estimating an EGARCH model. It turns out that the volatility process is asymmetrical: a positive shock to the retail price has a greater effect on the variance of the retail price than a negative shock. We conclude that the retail price and the spot price do not drift apart in the long run. However, there is a faster reaction to upward changes in spot prices than to downward changes in spot prices in the short run. This asymmetry starts 3 days after the change in the spot price and lasts for 4 days.
Keywords: asymmetry; retail gasoline prices; volatility (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (21) Track citations by RSS feed
Downloads: (external link)
Access to full text is restricted to subscribers.
Working Paper: Do daily retail gasoline prices adjust asymmetrically? (2005)
Working Paper: Do Daily Retail Gasoline Prices adjust Asymmetrically? (2005)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:taf:japsta:v:36:y:2009:i:4:p:385-397
Ordering information: This journal article can be ordered from
Access Statistics for this article
Journal of Applied Statistics is currently edited by Robert Aykroyd
More articles in Journal of Applied Statistics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().