Jing, Li and Thompson, Henry (2010): A Note on the Oil Price Trend and GARCH Shocks. Forthcoming in: Energy Journal , Vol. 31, (2010): pp. 185-191.
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This paper investigates the trend in the monthly real price of oil between 1990 and 2008 with a generalized autoregressive conditional heteroskedasticity (GARCH) model. Trend and volatility are estimated jointly with the maximum likelihood estimation. There is long persistence in the variance of oil price shocks, and a GARCH unit root (GUR) test can potentially yield a significant power gain relative to the augmented Dickey-Fuller (ADF) test. After allowing for nonlinearity, the evidence supports a deterministic trend in the price of oil. The deterministic trend implies that influence of a price shock is transitory and policy efforts to restore a predictable price after a shock would be unwarranted in the long run.
|Item Type:||MPRA Paper|
|Original Title:||A Note on the Oil Price Trend and GARCH Shocks|
|Keywords:||Oil Price, Volatility, Trend, GARCH, Fourier Form|
|Subjects:||C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Prediction Methods; Simulation Methods
Q - Agricultural and Natural Resource Economics; Environmental and Ecological Economics > Q3 - Nonrenewable Resources and Conservation > Q31 - Demand and Supply
C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C12 - Hypothesis Testing: General
|Depositing User:||Jing Li|
|Date Deposited:||13. Feb 2010 17:11|
|Last Modified:||12. Feb 2013 12:52|
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