A MARKOV REGIME-SWITCHING MODEL FOR CRUDE-OIL MARKET FLUCTUATIONS

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ROSTAMI MOHAMMADREZA; NAGHAVIPOUR MARYAM; MOGHADDASBAYAT MARYAM

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Paper Information

Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2018 | Volume:9 | Issue:35 Page(s): 179-196

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Title

A MARKOV REGIME-SWITCHING MODEL FOR CRUDE-OIL MARKET FLUCTUATIONS

Author(s)

ROSTAMI MOHAMMADREZA | NAGHAVIPOUR MARYAM | MOGHADDASBAYAT MARYAM | Issue Writer Certificate

Keywords

MARKOV SWITCHINGQ1

MS-GARCH PATTERNQ1

OIL PRICE FORECASTQ1

OIL PRICE FLUCTUATIONSQ1

Abstract

According to the findings of financial econometric researches, oil prices as one of the most important macroeconomic variables affect financial markets and economies of oil exporting countries. In this study, the price of OPEC oil basket has been used with daily frequency. The period under review is from August 3, 2013 to December 26, 2016. The course includes various developments such as unrest and war in the Middle East, a sharp and unexpected decline in oil prices for reasons such as a decline in demand, an agreement 27, and the agreement of OPEC members to reduce oil production in order to increase oil prices, is located.Initial studies indicate cluster fluctuations, ie, independent and uniform distribution characteristics and variance consistency. The Breusch Godfrey test confirms the effects of ARCH and GARCH. Also, a generalized test with the estimation of kernel density based on the Monte Carlo rule indicates Parson’s weight on the effects of ARCH in the variable.The results of the study of OIL PRICE FLUCTUATIONS using the MS-GARCH model of single and multiple regimes indicate that the three regimes model is suitable for explaining the behavior of the variable in the reviewed period.

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APA: Copy

ROSTAMI, MOHAMMADREZA, NAGHAVIPOUR, MARYAM, & MOGHADDASBAYAT, MARYAM. (2018). A MARKOV REGIME-SWITCHING MODEL FOR CRUDE-OIL MARKET FLUCTUATIONS. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 9(35 ), 179-196. SID. https://sid.ir/paper/197705/en

Vancouver: Copy

ROSTAMI MOHAMMADREZA, NAGHAVIPOUR MARYAM, MOGHADDASBAYAT MARYAM. A MARKOV REGIME-SWITCHING MODEL FOR CRUDE-OIL MARKET FLUCTUATIONS. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2018;9(35 ):179-196. Available from: https://sid.ir/paper/197705/en

IEEE: Copy

MOHAMMADREZA ROSTAMI, MARYAM NAGHAVIPOUR, and MARYAM MOGHADDASBAYAT, “A MARKOV REGIME-SWITCHING MODEL FOR CRUDE-OIL MARKET FLUCTUATIONS,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 9, no. 35 , pp. 179–196, 2018, [Online]. Available: https://sid.ir/paper/197705/en

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