DYNAMIC BEHAVIORS OF OIL AND GAS PRICES AND THEIR VOLATILITIES: USING THE ARDL-GARCH APPROACH

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ZAMANI MEHRZAD

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Journal: ENERGY ECONOMICS REVIEW Year:2011 | Volume:8 | Issue:29 Page(s): 181-195

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Title

DYNAMIC BEHAVIORS OF OIL AND GAS PRICES AND THEIR VOLATILITIES: USING THE ARDL-GARCH APPROACH

Author(s)

ZAMANI MEHRZAD | Issue Writer Certificate

Keywords

OIL & GAS PRICESQ2

CO INTEGRATIONQ2

SPILLOVERQ2

ARDL-GARCHQ2

Abstract

Oil and gas are substitute commodities to meet energy needs and their markets are thus interrelated with increasingly fierce competition between them. Recent spikes and shocks in the energy markets necessitate the in-depth study of various aspects of the relationship between oil and gas markets as two main sources of energy. We thus use weekly price data to investigate long and short-run oil and gas markets and the relationship between their respective volatilities and SPILLOVER of volatility from one market to the other. We use the ARDL-GARCH method to simultaneously study the behavior of long and short run markets taking into account their volatility. The results confirm the existence of a long term relationship between the two markets. Oil prices act as a weak exogenous variable in determining gas prices in the long run. While in the short term it is gas prices that influence oil prices. In addition, we see that volatility of gas prices has a SPILLOVER effect on volatility of oil prices while the relationship does not hold the other way around.

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References

TESTING FOR COMMON FEATURES IN NORTH AMERICAN ENERGY MARKETS

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APA: Copy

ZAMANI, MEHRZAD. (2011). DYNAMIC BEHAVIORS OF OIL AND GAS PRICES AND THEIR VOLATILITIES: USING THE ARDL-GARCH APPROACH. ENERGY ECONOMICS REVIEW, 8(29), 181-195. SID. https://sid.ir/paper/99517/en

Vancouver: Copy

ZAMANI MEHRZAD. DYNAMIC BEHAVIORS OF OIL AND GAS PRICES AND THEIR VOLATILITIES: USING THE ARDL-GARCH APPROACH. ENERGY ECONOMICS REVIEW[Internet]. 2011;8(29):181-195. Available from: https://sid.ir/paper/99517/en

IEEE: Copy

MEHRZAD ZAMANI, “DYNAMIC BEHAVIORS OF OIL AND GAS PRICES AND THEIR VOLATILITIES: USING THE ARDL-GARCH APPROACH,” ENERGY ECONOMICS REVIEW, vol. 8, no. 29, pp. 181–195, 2011, [Online]. Available: https://sid.ir/paper/99517/en

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