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Measuring Oil Price Volatility

Gerard H. Kuper

University of Groningen - Faculty of Economics and Business

June 11, 2002

In this paper we try to measure oil price uncertainty. The measure of uncertainty is based on the conditional standard deviations which are derived from univariate (G)ARCH models. The measure of uncertainty we choose is the within-year high-low range of the conditional standard deviations. It is likely that the higher the uncertainty, the higher the high-low range within a year will be.

We focus on volatility of the price of a barrel Brent crude, over the period 5 January, 1982 to 23 April, 2002 representing 5296 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.

Number of Pages in PDF File: 19

Keywords: Volatility, ARCH, Oil prices

JEL Classification: C22, Q43

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Date posted: July 22, 2002  

Suggested Citation

Kuper, Gerard H., Measuring Oil Price Volatility (June 11, 2002). Available at SSRN: http://ssrn.com/abstract=316480 or http://dx.doi.org/10.2139/ssrn.316480

Contact Information

Gerard H. Kuper (Contact Author)
University of Groningen - Faculty of Economics and Business ( email )
Postbus 72
9700 AB Groningen
Feedback to SSRN

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