Oil spot prices' next-day volatility: Comparison of European and American short run forecasts

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F47813059%3A19520%2F17%3A00010219" target="_blank" >RIV/47813059:19520/17:00010219 - isvavai.cz</a>

Result on the web

<a href="http://www.sciencedirect.com/science/article/pii/S2212567114007096" target="_blank" >http://www.sciencedirect.com/science/article/pii/S2212567114007096</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1007/978-3-319-39919-5_22" target="_blank" >10.1007/978-3-319-39919-5_22</a>

Result language

angličtina

Original language name

Oil spot prices' next-day volatility: Comparison of European and American short run forecasts

Original language description

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 crisi s 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.

Czech name

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Czech description

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Type

D - Article in proceedings

CEP classification

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OECD FORD branch

50202 - Applied Economics, Econometrics

Project

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Continuities

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2017

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection

Financial Environment and Business Development

ISBN

978-3-319-39918-8

ISSN

—

e-ISSN

—

Number of pages

12

Pages from-to

285-296

Publisher name

Springer International Publishing

Place of publication

SWITZERLAND

Event location

Istanbul, Turecko

Event date

May 27, 2015

Type of event by nationality

WRD - Celosvětová akce

UT code for WoS article

000407615400022