Volatility of Crude Oil Prices before and after the Great Financial Crisis of 2008

Abhishek Kumar Saxena, Anmol Kalra, Rahul Singh Gautam, Shailesh Rastogi
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Abstract

This paper examines the volatility of the oil price returns before and after the Great Financial crisis of 2008 using plain vanilla GARCH Model. Over a third of the world's energy consumption has been fueled by crude oil, making it one of the most significant fuel sources. Oil shocks have a variety of effects on macroeconomic activities. Sharp swings in the price of oil put off corporate investment because they increase uncertainty, which temporarily lowers output. Analyzing the trends in crude oil prices is essential for guiding the economy's policy and decision-making. This paper tries to forecast the volatility of oil prices for the future and map the trends in oil prices due to a radical shift in the geopolitical dynamics. We tried to create the volatility model for returns before and after 2008 crisis and find which model has more persistent long-term volatility. A plain vanilla GARCH model has been fitted for this purpose.
2008年金融危机前后原油价格的波动
本文采用普通GARCH模型考察了2008年金融危机前后石油价格收益的波动。全球超过三分之一的能源消耗是由原油驱动的,使其成为最重要的燃料来源之一。石油冲击对宏观经济活动有各种各样的影响。石油价格的剧烈波动推迟了企业投资,因为它们增加了不确定性,从而暂时降低了产量。分析原油价格走势对指导经济政策和决策至关重要。本文试图预测未来石油价格的波动,并绘制出由于地缘政治动态的根本转变而导致的石油价格趋势。我们试图为2008年危机前后的回报创建波动模型,并找出哪个模型具有更持久的长期波动。为此目的拟合了一个普通的香草GARCH模型。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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