EconPapers    
Economics at your fingertips  
 

Oil Spot Prices’ Next Day Volatility: Comparison of European and American Short-Run Forecasts

Tomas Heryan ()

A chapter in Financial Environment and Business Development, 2017, pp 285-296 from Springer

Abstract: Abstract The aim of the current paper is to estimate spot prices’ next-day volatility of the two largest kinds of crude oil, European Brent oil and American WTI oil, and examine differences due to selected global incidents. Daily data for oil spot prices are from May 1987 till January 2015. The contribution of the study is in a comparison of oil spot prices’ development and impacts of the Euro sovereign debt crises, recent global financial crises, and also the historical affairs as the military conflict in the Persian Gulf in 1990, or particular incidents after the start of the new millennium. The estimation method for short-run forecasting is the volatility model GARCH (1,1). While it has been proven that there was higher volatility during the global financial crisis within American WTI oil prices, higher errors were examined within European Brent oil prices. There was no higher volatility due to the euro crisis in the last 4 years. Nonetheless, both investigated oil prices were affected by highest volatility during military conflict in 1990 in our estimated period. It was clearly concluded that military conflicts can affect oil prices in a much higher way than recent financial crises.

Keywords: Oil spot prices; Next-day volatility; Brent crude oil; WTI crude oil; GARCH (1; 1) (search for similar items in EconPapers)
Date: 2017
References: Add references at CitEc
Citations: Track citations by RSS feed

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:eurchp:978-3-319-39919-5_22

Ordering information: This item can be ordered from
http://www.springer.com/9783319399195

DOI: 10.1007/978-3-319-39919-5_22

Access Statistics for this chapter

More chapters in Eurasian Studies in Business and Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().

 
Page updated 2022-08-14
Handle: RePEc:spr:eurchp:978-3-319-39919-5_22