| Summary: | Oil prices have had a significant volatility over the past century as a result of changes in international economic and political balances. Because oil is a major source of energy and is not evenly distributed among countries, it now has a strategic importance for each country. The aim of this study is to analyze the volatility of global oil prices with the Autoregressive Conditional Variance Models (ARCH/GARCH). In this direction, European Brent oil prices based on June 1987- June 2018 business day basis were used as data in the study. According to the results of analysis, it is seen that TARCH (1,1) model is the best volatility estimation model among different ARCH/GARCH type models. According to the model: I) Oil prices are positively affected by the previous period. II) The impact of shocks on oil price return does not spread over a long period. III) Volatility is generally high, so instability is dominant in prices. IV) Negative shocks on oil price return are more effective than positive shocks.
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