文章基本信息

标题：An Econometrics Analysis of Oil Price Volatility
本地全文：下载
作者：Muhammad Jawad
期刊名称：International Journal of Econometrics and Financial Management
印刷版ISSN：2374-2011
电子版ISSN：2374-2038
出版年度：2013
卷号：1
期号：1
页码：1-4
DOI：10.12691/ijefm-1-1-1
语种：English
出版社：Science and Education Publishing
摘要：The main objectives of this research are firstly, to determined the variables which may cause the oil volatility. Secondly, to analyze that how much these variables cause the oil volatility. Secondary data from 1973 to 2011 were used to estimate the coefficients. GARCH (1, 1) model is used to analyze the volatility among the variable. Oil price, Oil supply and oil demand are stationary at 1^st Difference through ADF test. It is found through Generalized Autoregressive Conditional Heteroskedasticity (GARCH1, 1) that oil demand has a significant effect on the oil price. Government should make a proper plan and procedure according to economic growth and requirement which would help to maintain the equilibrium of oil demand and supply and decreased the impact of oil price volatility on the economic growth. Exploration the oil alternatives that steadily decrease the impact of the oil price volatility, will make potential of the economy stronger to face volatility crisis.
关键词：oil Price volatility; oil demand; oil supply; GARCH (1; 1)