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Ingeniare. Revista chilena de ingeniería

versión On-line ISSN 0718-3305

Resumen

AZEVEDO, Thaís C et al. The behavior of West Texas Intermediate crude-oil and refined products prices volatility before and after the 2008 financial crisis: an approach through analysis of futures contracts. Ingeniare. Rev. chil. ing. [online]. 2015, vol.23, n.3, pp.395-405. ISSN 0718-3305.  http://dx.doi.org/10.4067/S0718-33052015000300008.

By analyzing futures contracts, this paper examines the volatility of West Texas Intermediate (WTI) crude oil and refined product prices (short, medium and long-term) before and after the financial crisis of 2008. Daily historical data from January 2000 to June 2008 (pre-crisis period) and from May, 2009 to October, 2012 (post-crisis period) were evaluated. AR-GARCH models were adjusted to these series, with the purpose of estimating volatilities and the persistence of shocks. After the crisis, the short-term volatility of the three commodities diminished. The persistence of shocks increased for most contracts after the 2008 crisis. The relevance of this type of analysis is related to the importance of volatility, not only to the agents who negotiate the physical products but also to the traders and their daily positions on exchanges.

Palabras clave : Volatility modeling; crude oil prices; GARCH models; persistence of shocks.

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