Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2021.1927788
Oil market volatility: comparison of COVID-19 crisis with the SARS outbreak of 2002 and the global financial crisis of 2008
Syed Kumail Abbas Rizvi
Rania Itani
Sažetak
During the recent COVID-19 outbreak, the crude oil market experienced enormous price fluctuations. A large number of researchers contended the volatility observed in oil market as
unprecedented and it was immediately attributed to the pandemic owing to its globally devastating nature. Whether or not
this attribution is justified, is the major question we have raised
in this paper. We perform the comparative analysis of the volatility spasms of oil market during the COVID-19 pandemic (COVID19), the Global financial crisis of 2008 (GFC) and the SARS outbreak of 2002–2004 (SARS). Preliminary investigation is conducted
using two proxies of market sentiment which are oil price returns
and oil price spread. For further investigations we apply symmetric GARCH (1,1) and the asymmetric GJR-GARCH (1,1) models. Our
results based on skewness and kurtosis, indicate an extremely
high degree of fat tail risk implying COVID-19 crisis as low probability yet high severity event a.k.a. black swan event. Our results
further confirm the presence of volatility clustering (GARCH effect)
along with the highest degree of asymmetry during COVID-19.
These facts collectively make COVID-19 crisis more uncertain and
pessimistic compared to the GFC and SARS.
Ključne riječi
Oil market volatility; COVID19; global financial crisis; SARS outbreak; GARCH
Hrčak ID:
302244
URI
Datum izdavanja:
31.3.2023.
Posjeta: 264 *