Volatility of Oil Prices

Volatility of Oil Prices
This paper examines the behavior of crude oil prices since 1980, and in particular the volatility of these prices. The empirical analysis covers "spot" prices for one of the key internationally traded crudes, namely Dated Brent Blend. A GARCH (generalized autoregressive conditional heteroscedastic) model, which allows the conditional variance to... READ MORE...

Publication date: August 1996
ISBN 9781451954722
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