The behavior of West Texas Intermediate crude-oil and refined products prices volatility before and after the 2008 financial crisis: an approach through analysis of futures contracts

By analyzing futures contracts, this paper examines the volatility of West Texas Intermediate (WTI) crude oil and refined product prices (short, medium and long-term) before and after the financial crisis of 2008. Daily historical data from January 2000 to June 2008 (pre-crisis period) and from May,...

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Autores principales:	Azevedo,Thaís C, Aiube,Fernando. L, Samanez,Carlos.P, Bisso,Claudio S, Costa,Leticia A
Lenguaje:	English
Publicado:	Universidad de Tarapacá. 2015
Materias:	Volatility modeling crude oil prices GARCH models persistence of shocks
Acceso en línea:	http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0718-33052015000300008
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spelling	oai:scielo:S0718-330520150003000082015-08-19The behavior of West Texas Intermediate crude-oil and refined products prices volatility before and after the 2008 financial crisis: an approach through analysis of futures contractsAzevedo,Thaís CAiube,Fernando. LSamanez,Carlos.PBisso,Claudio SCosta,Leticia A Volatility modeling crude oil prices GARCH models persistence of shocks By analyzing futures contracts, this paper examines the volatility of West Texas Intermediate (WTI) crude oil and refined product prices (short, medium and long-term) before and after the financial crisis of 2008. Daily historical data from January 2000 to June 2008 (pre-crisis period) and from May, 2009 to October, 2012 (post-crisis period) were evaluated. AR-GARCH models were adjusted to these series, with the purpose of estimating volatilities and the persistence of shocks. After the crisis, the short-term volatility of the three commodities diminished. The persistence of shocks increased for most contracts after the 2008 crisis. The relevance of this type of analysis is related to the importance of volatility, not only to the agents who negotiate the physical products but also to the traders and their daily positions on exchanges.info:eu-repo/semantics/openAccessUniversidad de Tarapacá.Ingeniare. Revista chilena de ingeniería v.23 n.3 20152015-09-01text/htmlhttp://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0718-33052015000300008en10.4067/S0718-33052015000300008
institution	Scielo Chile
collection	Scielo Chile
language	English
topic	Volatility modeling crude oil prices GARCH models persistence of shocks
spellingShingle	Volatility modeling crude oil prices GARCH models persistence of shocks Azevedo,Thaís C Aiube,Fernando. L Samanez,Carlos.P Bisso,Claudio S Costa,Leticia A The behavior of West Texas Intermediate crude-oil and refined products prices volatility before and after the 2008 financial crisis: an approach through analysis of futures contracts
description	By analyzing futures contracts, this paper examines the volatility of West Texas Intermediate (WTI) crude oil and refined product prices (short, medium and long-term) before and after the financial crisis of 2008. Daily historical data from January 2000 to June 2008 (pre-crisis period) and from May, 2009 to October, 2012 (post-crisis period) were evaluated. AR-GARCH models were adjusted to these series, with the purpose of estimating volatilities and the persistence of shocks. After the crisis, the short-term volatility of the three commodities diminished. The persistence of shocks increased for most contracts after the 2008 crisis. The relevance of this type of analysis is related to the importance of volatility, not only to the agents who negotiate the physical products but also to the traders and their daily positions on exchanges.
author	Azevedo,Thaís C Aiube,Fernando. L Samanez,Carlos.P Bisso,Claudio S Costa,Leticia A
author_facet	Azevedo,Thaís C Aiube,Fernando. L Samanez,Carlos.P Bisso,Claudio S Costa,Leticia A
author_sort	Azevedo,Thaís C
title	The behavior of West Texas Intermediate crude-oil and refined products prices volatility before and after the 2008 financial crisis: an approach through analysis of futures contracts
title_short	The behavior of West Texas Intermediate crude-oil and refined products prices volatility before and after the 2008 financial crisis: an approach through analysis of futures contracts
title_full	The behavior of West Texas Intermediate crude-oil and refined products prices volatility before and after the 2008 financial crisis: an approach through analysis of futures contracts
title_fullStr	The behavior of West Texas Intermediate crude-oil and refined products prices volatility before and after the 2008 financial crisis: an approach through analysis of futures contracts
title_full_unstemmed	The behavior of West Texas Intermediate crude-oil and refined products prices volatility before and after the 2008 financial crisis: an approach through analysis of futures contracts
title_sort	behavior of west texas intermediate crude-oil and refined products prices volatility before and after the 2008 financial crisis: an approach through analysis of futures contracts
publisher	Universidad de Tarapacá.
publishDate	2015
url	http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0718-33052015000300008
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The behavior of West Texas Intermediate crude-oil and refined products prices volatility before and after the 2008 financial crisis: an approach through analysis of futures contracts

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