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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| Định dạng: | Journal article |
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Chiang Mai University (Chiang Mai, Thailand)
2022
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| Truy cập trực tuyến: | http://scholar.dlu.edu.vn/handle/123456789/834 |
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oai:scholar.dlu.edu.vn:123456789-8342022-08-19T12:06:18Z The stable relationship between crude oil price and petrol price: Evidence from multivariate GARCH models Nguyễn, Văn Tuấn ARCH effect GARCH BEKK Oil price Petrol price 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. 2 2 27-40 2022-08-19T12:06:14Z 2022-08-19T12:06:14Z 2013 Journal article Bài báo đăng trên tạp chí quốc tế (có ISSN), bao gồm book chapter 2286-7147 http://scholar.dlu.edu.vn/handle/123456789/834 vi The Empirical Econometrics and Quantitative Economics Letters 2286-7147 Chiang Mai University (Chiang Mai, Thailand) Thailand |
| institution |
Thư viện Trường Đại học Đà Lạt |
| collection |
Thư viện số |
| language |
Vietnamese |
| topic |
ARCH effect GARCH BEKK Oil price Petrol price |
| spellingShingle |
ARCH effect GARCH BEKK Oil price Petrol price Nguyễn, Văn Tuấn The stable relationship between crude oil price and petrol price: Evidence from multivariate GARCH models |
| description |
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. |
| format |
Journal article |
| author |
Nguyễn, Văn Tuấn |
| author_facet |
Nguyễn, Văn Tuấn |
| author_sort |
Nguyễn, Văn Tuấn |
| title |
The stable relationship between crude oil price and petrol price: Evidence from multivariate GARCH models |
| title_short |
The stable relationship between crude oil price and petrol price: Evidence from multivariate GARCH models |
| title_full |
The stable relationship between crude oil price and petrol price: Evidence from multivariate GARCH models |
| title_fullStr |
The stable relationship between crude oil price and petrol price: Evidence from multivariate GARCH models |
| title_full_unstemmed |
The stable relationship between crude oil price and petrol price: Evidence from multivariate GARCH models |
| title_sort |
stable relationship between crude oil price and petrol price: evidence from multivariate garch models |
| publisher |
Chiang Mai University (Chiang Mai, Thailand) |
| publishDate |
2022 |
| url |
http://scholar.dlu.edu.vn/handle/123456789/834 |
| _version_ |
1768305864551170048 |