| ID | 117267 |
| Title Proper | Modelling oil price volatility with structural breaks |
| Language | ENG |
| Author | Salisu, Afees A ; Fasanya, Ismail O |
| Publication | 2013. |
| Summary / Abstract (Note) | In this paper, we provide two main innovations: (i) we analyze oil prices of two prominent markets namely West Texas Intermediate (WTI) and Brent using the two recently developed tests by Narayan and Popp (2010) and Liu and Narayan, 2010 both of which allow for two structural breaks in the data series; and (ii) the latter method is modified to include both symmetric and asymmetric volatility models. We identify two structural breaks that occur in 1990 and 2008 which coincidentally correspond to the Iraqi/Kuwait conflict and the global financial crisis, respectively. We find evidence of persistence and leverage effects in the oil price volatility. While further extensions can be pursued, the consideration of asymmetric effects as well as structural breaks should not be jettisoned when modelling oil price volatility. |
| `In' analytical Note | Energy Policy vol. , No.52; Jan 2013: p.554-562 |
| Journal Source | Energy Policy vol. , No.52; Jan 2013: p.554-562 |
| Key Words | Crude Oil Price ; Structural Breaks ; Volatility Modelling |