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Volatility of Oil Prices
Author:
Mr. Peter Wickham
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Series:
IMF Working Papers
Volume/Issue:
Volume 1996: Issue 082
Language:
English
Publication Date:
01 Aug 1996
DOI:
https://doi.org/10.5089/9781451954722.001
ISBN:
9781451954722
ISSN:
1018-5941
Pages:
20
Keywords:
WP; price; market; spot price; oil price volatility; price curve; oil market trader; market efficiency; term contract; oil market deregulation; participants reaction; price surge; oil price data; price risk; oil price series; oil price slump; Oil prices; Oil; Futures; Futures markets; Price controls; Middle East
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IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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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 be time-variant, is estimated for the period which includes the oil price slump of 1986 and the surge in prices in 1990 as a result of the Iraqi invasion of Kuwait. The paper also discusses the growth of futures and derivative markets and the dynamic links between spot and futures markets.
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Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund