Modeling jumps in organization of petroleum exporting countries basket price using generalized autoregressive heteroscedasticity and conditional jump
This paper uses autoregressive jump intensity (ARJI) model to show that the oil price has both GARCH and conditional jump component. In fact, the distribution of oil prices is not normal, and oil price returns have conditional heteroskedasticity. Here the authors compare constant jump intensity with...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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LLC "CPC "Business Perspectives"
2016-12-01
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| Series: | Investment Management & Financial Innovations |
| Online Access: | https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/8096/imfi_en_2016_04cont_Bahramgiri.pdf |
| _version_ | 1811250006780280832 |
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| author | Mohsen Bahramgiri Shahabeddin Gharaati Iman Dolatabadi |
| author_facet | Mohsen Bahramgiri Shahabeddin Gharaati Iman Dolatabadi |
| author_sort | Mohsen Bahramgiri |
| collection | DOAJ |
| description | This paper uses autoregressive jump intensity (ARJI) model to show that the oil price has both GARCH and conditional jump component. In fact, the distribution of oil prices is not normal, and oil price returns have conditional heteroskedasticity. Here the authors compare constant jump intensity with the dynamic jump intensity and evidences demonstrate that oil price returns have dynamic jump intensity. Therefore, there is strong evidence of time varying jump intensity Generalized Autoregressive Heteroscedasticity (GARCH) behavior in the oil price returns. The findings have several implications: first, it shows that oil price is highly sensitive to news, and it does settle around a trend in long-run. Second, the model separates variances of high volatilities from smooth volatilities. Third, the model rejects an optimal path for extracting oil and technology transmission. In fact, the lack of a long-term pattern can cause excessive oil extracting which can result in heavy climatic effects.
Keywords: generalized autoregressive heteroscedasticity (GARCH), jumps, basket, oil price, Organization of Petroleum Exporting Countries (OPEC), Autoregre-ssive jump intensity (ARJI). JEL Classification: C32, C52, F31 |
| first_indexed | 2024-04-12T15:56:29Z |
| format | Article |
| id | doaj.art-ba478b8b7d7d4137b4ed70c1460d2a4b |
| institution | Directory Open Access Journal |
| issn | 1810-4967 1812-9358 |
| language | English |
| last_indexed | 2024-04-12T15:56:29Z |
| publishDate | 2016-12-01 |
| publisher | LLC "CPC "Business Perspectives" |
| record_format | Article |
| series | Investment Management & Financial Innovations |
| spelling | doaj.art-ba478b8b7d7d4137b4ed70c1460d2a4b2022-12-22T03:26:20ZengLLC "CPC "Business Perspectives"Investment Management & Financial Innovations1810-49671812-93582016-12-0113419620210.21511/imfi.13(4-1).2016.058096Modeling jumps in organization of petroleum exporting countries basket price using generalized autoregressive heteroscedasticity and conditional jumpMohsen Bahramgiri0Shahabeddin Gharaati1Iman Dolatabadi2Assistant Professor, School of Management and Economics, Sharif University of Technology, Tehran, IranSharif University of Technology, Tehran, IranSharif University of Technology, Tehran, IranThis paper uses autoregressive jump intensity (ARJI) model to show that the oil price has both GARCH and conditional jump component. In fact, the distribution of oil prices is not normal, and oil price returns have conditional heteroskedasticity. Here the authors compare constant jump intensity with the dynamic jump intensity and evidences demonstrate that oil price returns have dynamic jump intensity. Therefore, there is strong evidence of time varying jump intensity Generalized Autoregressive Heteroscedasticity (GARCH) behavior in the oil price returns. The findings have several implications: first, it shows that oil price is highly sensitive to news, and it does settle around a trend in long-run. Second, the model separates variances of high volatilities from smooth volatilities. Third, the model rejects an optimal path for extracting oil and technology transmission. In fact, the lack of a long-term pattern can cause excessive oil extracting which can result in heavy climatic effects. Keywords: generalized autoregressive heteroscedasticity (GARCH), jumps, basket, oil price, Organization of Petroleum Exporting Countries (OPEC), Autoregre-ssive jump intensity (ARJI). JEL Classification: C32, C52, F31https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/8096/imfi_en_2016_04cont_Bahramgiri.pdf |
| spellingShingle | Mohsen Bahramgiri Shahabeddin Gharaati Iman Dolatabadi Modeling jumps in organization of petroleum exporting countries basket price using generalized autoregressive heteroscedasticity and conditional jump Investment Management & Financial Innovations |
| title | Modeling jumps in organization of petroleum exporting countries basket price using generalized autoregressive heteroscedasticity and conditional jump |
| title_full | Modeling jumps in organization of petroleum exporting countries basket price using generalized autoregressive heteroscedasticity and conditional jump |
| title_fullStr | Modeling jumps in organization of petroleum exporting countries basket price using generalized autoregressive heteroscedasticity and conditional jump |
| title_full_unstemmed | Modeling jumps in organization of petroleum exporting countries basket price using generalized autoregressive heteroscedasticity and conditional jump |
| title_short | Modeling jumps in organization of petroleum exporting countries basket price using generalized autoregressive heteroscedasticity and conditional jump |
| title_sort | modeling jumps in organization of petroleum exporting countries basket price using generalized autoregressive heteroscedasticity and conditional jump |
| url | https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/8096/imfi_en_2016_04cont_Bahramgiri.pdf |
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