Title of article :
The Effect of Crude Oil Futures Prices on Risk Premium Volatilities in the Futures Market
Author/Authors :
Mousavi, Hossein Economics Department - Al Zahra University, Tehran, Iran , Mazraati, Mohammad Energy Economics, OFID, Vienna, Austria , Hosseingholizadeh, Elmira Al Zahra University, Tehran, Iran
Abstract :
This paper explores the impact of crude oil futures prices on risk premium
volatilities in the NYMEX futures market. For this purpose, the ARCH and
GARCH methods are used to model risk premium volatilities and explore
how crude oil futures prices influence the risk premium volatilities in futures
contract with a maturity of one-month, two-month and three-month over
1990-2014. In addition, it examines the impact of various maturities for futures
contracts. The results indicate positive and statistically significant relationship
between risk premium volatility and crude oil futures prices, and
this relationship varies across the maturity length with change in maturity
length. The longer the futures maturities, the higher the impact of futures
crude oil prices on risk premium volatility is anticipated.
Keywords :
Crude oil futures prices , Risk premium volatility , NYMEX futures market , ARCH and GARCH , Volatility modeling
Journal title :
Astroparticle Physics
