The stable relationship between crude oil price and petrol price: Evidence from multivariate GARCH models
This study investigates the relationship between crude oil price and petrol price as well as their behaviour using daily U.S. price series in the period from January 11th 1988 to May 20th 2011. We find that univariate GARCH(1,1) is likely the most suitable model to measure the volatility of relat...
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| Autor principal: | |
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| Formato: | Journal article |
| Idioma: | Vietnamese |
| Publicado em: |
Chiang Mai University (Chiang Mai, Thailand)
2022
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| Assuntos: | |
| Acesso em linha: | http://scholar.dlu.edu.vn/handle/123456789/834 |
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| Thư viện lưu trữ: | Thư viện Trường Đại học Đà Lạt |
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| Resumo: | This study investigates the relationship between crude oil price and petrol price as well as
their behaviour using daily U.S. price series in the period from January 11th 1988 to May
20th 2011. We find that univariate GARCH(1,1) is likely the most suitable model to
measure the volatility of relative changes in the crude oil price and the petrol price.
Whereas, a multivariate GARCH(1,1) model of the diagonal BEKK type is employed to
analyse the conditional correlation of the two series. Although the view of asymmetrical
responses in the crude oil price and the petrol price is unsupported by this study, it is
evident that there is a strongly positive correlation between them in the long-run. |
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