Tail Dependence between Crude Oil Volatility Index and WTI Oil Price Movements during the COVID-19 Pandemic

Tail Dependence between Crude Oil Volatility Index and WTI Oil Price Movements during the COVID-19 Pandemic

This study investigates the dependence between extreme returns of West Texas Intermediate (WTI) crude oil prices and the Crude Oil Volatility Index (OVX) changes as well as the predictive power of OVX to generate accurate Value at Risk (VaR) forecasts for crude oil. We focus on the COVID-19 pandemic...

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Bibliographic Details
Main Authors: Krzysztof Echaust, Małgorzata Just
Format: Article
Language:English
Published: MDPI AG 2021-07-01
Series:Energies
Subjects:
OVX
crude oil
implied volatility
tail dependence
Value at Risk
GARCH-EVT
Online Access:https://www.mdpi.com/1996-1073/14/14/4147

Internet

https://www.mdpi.com/1996-1073/14/14/4147

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