Measuring oil price volatility
Gerard Kuper ()
No 02C43, Research Report from University of Groningen, Research Institute SOM (Systems, Organisations and Management)
In this paper we try to measure oil price uncertainty. The measure of uncertainty is based on the conditional standard deviations. The time-varying conditional standard deviations are estimated using univariate (G)ARCH moels. We focus on volatility of the price of a barrel Brent crude, over the period 5 January, 1982 to 23 April, 2002 representing 5296 daily observations. The preferred model is a symmetric GARCH(1,3) model. Asymmetric leverage effects are not found. We also examine the volatility in monthly time series for the period January, 1970 to April, 2002. For this time span and frequency we prefer the GARCH(1,1) model.
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Working Paper: Measuring oil price volatility (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:gro:rugsom:02c43
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