HERYÁN, Tomáš. Oil spot prices' next-day volatility: Comparison of European and American short run forecasts. In Financial Environment and Business Development. SWITZERLAND: Springer International Publishing, 2017. p. 285-296. ISBN 978-3-319-39918-8.
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Basic information
Original name Oil spot prices' next-day volatility: Comparison of European and American short run forecasts
Authors HERYÁN, Tomáš (203 Czech Republic, guarantor, belonging to the institution).
Edition SWITZERLAND, Financial Environment and Business Development, p. 285-296, 12 pp. 2017.
Publisher Springer International Publishing
Other information
Original language English
Type of outcome Proceedings paper
Field of Study 50202 Applied Economics, Econometrics
Confidentiality degree is not subject to a state or trade secret
Publication form printed version "print"
WWW URL
RIV identification code RIV/47813059:19520/17:00010219
Organization unit School of Business Administration in Karvina
ISBN 978-3-319-39918-8
UT WoS 000407615400022
Keywords in English Oil spot prices; next-day volatility; Brent crude oil; WTI crude oil; GARCH (1, 1)
Changed by Changed by: RNDr. Daniel Jakubík, učo 139797. Changed: 7/2/2020 10:57.
Abstract
The aim of current paper is to estimate spot prices' next-day volatility of two largest kinds of oil, European Brent oil as well as American WTI oil, and examine differences due to selected global incidents. Investigated period is formed by almost last three decades. Data for oil spot prices in daily frequency are from May 20, 1987 till January 12, 2015. The contribution of this study is in a comparison of oil spot prices' development and impacts of the Euro sovereign debt crises, recent global financial crises, but also other historical affairs as military conflict in Persian Gulf in 1990, or some particular incidents after the start of new millennium. Estimation method for short run forecasting is volatility model GARCH (1, 1). This paper does not focus on a prediction of spot prices. On the other hand, reported errors in short run forecasts against development of real historical spot prices are highlighted. While it has been proved higher volatility during the global financial crisis in 2008 within American WTI oil prices (could be logical), higher errors were examined within European Brent oil prices in that crisis period. There was no higher volatility due to euro crisis in last four years. Nonetheless, both investigated oil prices were affected by highest volatility during military conflict in 1990 in our estimated period. It was clearly conclude that military conflicts can affect oil prices in much higher way than recent financial crises.
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