Brent crude oil prices volatility during major crises

Zavadska, Miroslava; Morales, Lucía; Coughlan, Joseph

doi:10.1016/j.frl.2018.12.026

Cited by 57 publications

(26 citation statements)

References 23 publications

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“…During times of high uncertainty derived from terrorism, violence or radicalization activities, commodity markets, such as oil, experience a surge on prices fluctuations (Orbaneja et al, 2018), and the process of managing risks becomes of vital importance for economic agents that aim to maximize their gains while they minimize their losses (Zavadskaa et al, 2020). Gong et al studied the link between oil prices volatility, oil shocks and financial crisis.…”

Section: Literature Reviewmentioning

confidence: 99%

Oil Price Volatility Models During Coronavirus Crisis: Testing With Appropriate Models Using Further Univariate Garch and Monte Carlo Simulation Models

Bouazizi¹,

Lassoued²,

Hadhek³

2020

IJEEP

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Coronavirus (2019-nCoV) not only has an effect on human health but also on economic variables in countries around the world. Coronavirus has an effect on the price of black gold and on its volatility. The shock on all markets is already very strong. Volatility patterns in Brent crude oil simulation are examined during COVID-19 crisis that significantly affected the oil market volatility. The selected crisis of coronavirus arose due to different triggers having diverse implications for oil returns volatility. Our findings indicate that model choice with data modeling is the same appropriate model EGARCH(0,2) with different parameters between pre-coronavirus and post-coronavirus. We find that oil prices are the most strongly and negatively influenced by the Coronavirus crisis. The downward movement post-covid-19 crisis is very noticeable in energy volatility. The return series, on the other hand, do not appear smooth, they rather appear volatile. We conduct a Monte Carlo simulation exercise during coronavirus crisis to investigate whether this decline is real or an artefact of the oil market. Our findings support the fact that the decline in oil prices volatility is an artefact of the covid-19 crisis.

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Section: Literature Reviewmentioning

confidence: 99%

Oil Price Volatility Models During Coronavirus Crisis: Testing With Appropriate Models Using Further Univariate Garch and Monte Carlo Simulation Models

Bouazizi¹,

Lassoued²,

Hadhek³

2020

IJEEP

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“…Lastly the estimated ARMA(1,0)-eGARCH(2,1) and ARMA(1,0)-eGARCH(2,2) for daily crude oil futures and weekly crude oil futures respectively have been significantly impacted by the global financial crisis and the Present COVID-19 pandemic Zavadska et al (2020) while the preferred estimated models also passed the goodness-of-test fit.…”

Section: Discussion Of Resultsmentioning

confidence: 93%

“…Table 11 presents the persistence and half-life values for the competing models for daily crude oil futures with the student t and skewed student t distributions. The entire ARMA-GARCH model exhibited very high persistence value though less than 1 (one), this could be due to the impact of global financial crisis and the present COVID-19 pandemic Zavadska et al (2020), but the entire model exhibited stability. For the ARMA(1,0)-eGARCH(2,1), the persistence value is 0.9933146 while it take about 104 days for mean-reverting to take place.…”

Section: Discussion Of Resultsmentioning

confidence: 95%

“…The study revealed one long run relationship equation and the authors found that exchange rate and gold price played dominant role in the estimated model. Zavadska et al (2020) investigated Bent crude oil and futures prices using GARCH type models during first gulf war 1990/91, Asian financial crisis 1997/98, the US terrorist attack 2001 and global financial crisis 2008/2009. The authors found that higher level of volatility during crisis was associated with oil supply and demand disruptions while higher volatility persistence associated with financial and economic crises.…”

Section: Literature Reviewsmentioning

confidence: 99%

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Double-Edged Sword of Global Financial Crisis and COVID-19 Pandemic on Crude Oil Stock Returns

Adenomon¹,

Emenogu²

2020

Preprint

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This study investigates the impact of global financial crisis and the present COVID-19 pandemic on daily and weekly Crude oil futures using four variants of ARMA-GARCH models: ARMA-sGARCH, ARMA-eGARCH, ARMA-TGARCH and ARMA- aPARCH with dummy variables We also investigated the persistence, half-life and backtesting of the models. This study therefore seeks to contribute to the body of literature on the impact of global financial crisis and the present COVID-19 pandemic on crude oil futures market. This investigation of the impact of global financial crisis and the COVID-19 on crude oil futures has not been much studied at present. We obtained and analyzed the daily and weekly crude oil futures from secondary sources. Daily crude oil futures used in this study covers the period from the 4th January 2000 to 27th April 2020 while the weekly crude oil futures covered from 2ndJanuary 2000 to 26th April 2020 . The global financial crisis period covered from 2nd July 2007 to 31st March 2009 and the current COVID-19 pandemic covered from 1st January 2020 to 27th April, 2020. The study used both student t and skewed student t innovations with AIC, goodness-of-test fit and backtesting to select the best model. Most of the estimated ARMA-GARCH models are supported by skewed student t distribution while most of the ARMA-GARCH models exhibited high persistence values in the presence of global financial crisis and the COVID-19 pandemic. In the overall, the estimated ARMA(1,0)-eGARCH(2,1) and ARMA(1,0)-eGARCH(2,2) model for daily crude oil futures and weekly crude oil futures respectively have been significantly impacted by the global financial crisis and the Present COVID-19 pandemic while the preferred estimated models also passed the goodness-of-test fit and backtesting.This study recommends shareholders and investors should think outside the box as crude oil futures tend to be affected by global financial crisis and COVID-19 pandemic while countries also that depend mostly on crude oil are encouraged to diversify their economy in other to survive and be sustained during financial and health crisis.

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“…Energy financialization also provides new research ideas and directions for the study of price behavior, risk contagion mechanisms and risk management in the energy market. The price behavior characteristics of energy financialization in the energy market mainly manifest through four aspects: volatility (Ma, Ji, and Pan 2019b;Zavadska, Morales, and Coughlan 2018), uncertainty (Agbeyegbe 2015;Liu, Ji, and Fan 2017), complexity (Zhang, Ji, and Kutan 2019) and infectivity (Ji, Liu, and Fan 2019a;Mahadeo, Heinlein, and Legrenzi 2019).…”

Section: Guest Editors' Introduction New Challenge and Research Develmentioning

confidence: 99%

New Challenge and Research Development in Global Energy Financialization

Sun

2019

Emerging Markets Finance and Trade

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Brent crude oil prices volatility during major crises

Cited by 57 publications

References 23 publications

Oil Price Volatility Models During Coronavirus Crisis: Testing With Appropriate Models Using Further Univariate Garch and Monte Carlo Simulation Models

Oil Price Volatility Models During Coronavirus Crisis: Testing With Appropriate Models Using Further Univariate Garch and Monte Carlo Simulation Models

Double-Edged Sword of Global Financial Crisis and COVID-19 Pandemic on Crude Oil Stock Returns

New Challenge and Research Development in Global Energy Financialization

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