تقدير عوائد ومخاطر تقلبات أسعار النفط في السوق الدولية للمدة (1990 – 2017)

Ammar Naeem Zghair  Al Chnani; Qusay Abood Faraj  Al Jabiry

doi:10.52716/jprs.v11i2.502

Estimated returns and risks of oil prices Volatility in the international market for the period (1990 – 2017)

Authors

Ammar Naeem Zghair Al Chnani Mustansiriyah University, Administration and Economics College
Qusay Abood Faraj Al Jabiry Mustansiriyah University, Administration and Economics College

DOI:

https://doi.org/10.52716/jprs.v11i2.502

Keywords:

crude oil price Volatility, GARCH-M model, EGARCH-M model, IGARCH-M model.

Abstract

The study aims at investigating the volatility of crude oil prices in the global market for the period (1990 - 2017). It also aims at estimating the returns of the global oil market and the risks that it faces as a result of volatility in the price of crude oil by using GARCH Models. The study revealed that the average return of volatility of Brent crude prices in the global market is about (1.12%) per month as well as the presence of a risk ratio in the global oil market of about (%0.32).

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Published

2021-06-20

How to Cite

(1)

الجناني ع. ن.; الجابري ق. ع. ف. Estimated Returns and Risks of Oil Prices Volatility in the International Market for the Period (1990 – 2017) . Journal of Petroleum Research and Studies 2021, 11, 36-54.