Volatility relationship between crude oil and petroleum products.(Report)

From: Atlantic Economic Journal | Date: March 1, 2007| Author: Lee, Thomas K.; Zyren, John | Copyright information

This paper utilizes calculated historical volatility and GARCH models to compare the historical price volatility behavior of crude oil, motor gasoline and heating oil in U.S. markets since 1990. We incorporate a shift variable in the GARCH/TARCH models to capture the response of price volatility to a change in OPEC's pricing behavior. This study has three major conclusions. First, there was an increase in volatility as a result of a structural shift to higher crude oil prices after April 19...

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