• Login
  • Register
  • Search

Analysis of the Volatility Characteristics of International Oil Prices - Based on the Perspective of Major Events

Yingying An

Abstract


The peaks and troughs of previous oil price fluctuations are associated with some major events. In this paper, BP structural breakpoint test is conducted on the spot price of WTI crude oil during the sample period, and it is found that there are four structural breakpoints in
the oil price series during the sample period, and then the sample is divided into five stages. By analyzing the five stages, it is found that the
fluctuation period of WTI crude oil spot price is gradually shortened, and the amplitude is gradually increased.

Keywords


Oil Price Fluctuations; Major Events; BP Structural Breakpoint

Full Text:

PDF

Included Database


References


[1] Xun Zhang, Lean Yu, Jianqiang Li, Shouyang Wang. Impacts of major emergencies on crude oil prices [J]. Systems Engineering

Theory and Practice,2009,29(03):10-15.

[2] Zavadska M,Morales L,Coughlan J. Brent crude oil prices volatility during major crises[J]. Finance Research Letters,2020,32.

[3] Devpura N , Narayan P K .Hourly oil price volatility: The role of COVID-19[J]. 2020.DOI:10.46557/001c.13683.

[4] Tarek B,Khaled G,Emilios G, et al. Crude oil prices in times of crisis: The role of Covid-19 and historical events[J]. International

Review of Financial Analysis,2024,91.

[5] Wang Zhen, Wang Kai. Impact of war on structural changes of crude oil prices [J]. China Energy,202,44(03):6-13+18.

[6] Bai J,Perron P. Computation and analysis of multiple structural change models[J]. Journal Of Applied Econometrics, 2003,18:1-22.




DOI: http://dx.doi.org/10.18686/fm.v9i3.12779

Refbacks
Copyright © 2020 Universe Scientific Publishing. All rights reserved.