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

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

—

OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

—

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2017

Kód důvěrnosti údajů

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

Název statě ve sborníku

Financial Environment and Business Development

ISBN

978-3-319-39918-8

ISSN

—

e-ISSN

—

Počet stran výsledku

12

Strana od-do

285-296

Název nakladatele

Springer International Publishing

Místo vydání

SWITZERLAND

Místo konání akce

Istanbul, Turecko

Datum konání akce

27. 5. 2015

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000407615400022