Volatility of Oil Prices

Peter Wickham

No 1996/082, IMF Working Papers from International Monetary Fund

Abstract: This paper examines the behavior of crude oil prices since 1980, and in particular the volatility of these prices. The empirical analysis covers “spot” prices for one of the key internationally traded crudes, namely Dated Brent Blend. A GARCH (generalized autoregressive conditional heteroscedastic) model, which allows the conditional variance to be time-variant, is estimated for the period which includes the oil price slump of 1986 and the surge in prices in 1990 as a result of the Iraqi invasion of Kuwait. The paper also discusses the growth of futures and derivative markets and the dynamic links between spot and futures markets.

Keywords: WP; price; market; spot price; oil price volatility; price curve; oil market trader; market efficiency; term contract; oil market deregulation; participants reaction; price surge; oil price data; price risk; oil price series; oil price slump; Oil prices; Oil; Futures; Futures markets; Price controls; Middle East (search for similar items in EconPapers)
Pages: 20
Date: 1996-08-01
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Citations: View citations in EconPapers (6)

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