Sie befinden Sich nicht im Netzwerk der Universität Paderborn. Der Zugriff auf elektronische Ressourcen ist gegebenenfalls nur via VPN oder Shibboleth (DFN-AAI) möglich. mehr Informationen...
On the volatility of WTI crude oil prices: A time-varying approach with stochastic volatility
Ist Teil von
Energy economics, 2023-01, Vol.117, p.106474, Article 106474
Ort / Verlag
Elsevier B.V
Erscheinungsjahr
2023
Link zum Volltext
Quelle
Elsevier ScienceDirect Journals Complete
Beschreibungen/Notizen
This study investigates the impacts of crude oil-market-specific fundamental factors and financial indicators on the realized volatility of West Texas Intermediate (WTI) crude oil price. A time-varying parameter vector autoregression model with stochastic volatility (TVP-VAR-SV) is applied to weekly data series spanning January 2008 to October 2021. It is found that the WTI oil price volatility responds positively to a shock in oil production, oil inventories, the US dollar index, and VIX but negatively to a shock in the US economic activity. The response to the EPU index was initially positive and then turned slightly negative before fading away. The VIX index has the most significant effect. Furthermore, the time-varying nature of the response of the WTI realized oil price volatility is evident. Extreme effects materialize during economic recessions and crises, especially during the COVID-19 pandemic. The findings can improve our understanding of the time-varying nature and determinants of WTI oil price volatility.
•This study investigates the realized volatility of West Texas Intermediate (WTI) crude oil prices.•A time-varying parameter vector autoregression model with stochastic volatility is applied.•Weekly data series spanning January 2008 to October 2021 are used.•The time-varying nature of the response of the WTI realized oil price volatility is evident.•Extreme effects on WTI crude materialize during economic crises like the COVID-19 pandemic.