Saeed Shavvalpour; Armin Jabbarzadeh; Hossein Khanjarpanah
Abstract
Crude oil price risk is crucial for oil exporting countries. Consequently, developing a risk hedging mechanism has great importance for these countries. Given that Value at Risk (VaR) is one of the most powerful tools for evaluating price risk, this paper has tried to design a mechanism for risk management ...
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Crude oil price risk is crucial for oil exporting countries. Consequently, developing a risk hedging mechanism has great importance for these countries. Given that Value at Risk (VaR) is one of the most powerful tools for evaluating price risk, this paper has tried to design a mechanism for risk management of Iranian oil revenues using the VaR measure. In this regard, Autoregressive Conditional Heteroskedasticity models including GARCH, CGARCH and EGARCH with different destiny distribution functions are utilized for calculating VaR of OPEC crude oil price in the period of 6 October 2005 to 29 August 2015. The results show that CGARCH model with t-student distribution outperforms the other methods in terms of forecast error measures. The implementation of CGARCH model with using the data of Iranian oil production in 2014 reveals that the proposed model can lead to a significant surplus income.
Ali Hossein Samadi; Ibrahim Hadian; Mahboubeh Jafari
Volume 2, Issue 7 , July 2013, , Pages 75-101
Abstract
This study investigates the impact of oil price volatility on macroeconomic variables such as investment, unemployment and production based on quarterly data during the period 1386:4-1369:1. To achieve this, permanent and transitory volatility of OPEC oil price estimated by component GARCH model ...
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This study investigates the impact of oil price volatility on macroeconomic variables such as investment, unemployment and production based on quarterly data during the period 1386:4-1369:1. To achieve this, permanent and transitory volatility of OPEC oil price estimated by component GARCH model (CGARCH). Then, using the Impulse response function, the impact of permanent and transitory volatility of oil prices on macroeconomic variables has been analyzed. The results indicate that permanent uncertainty arising from changes in oil prices has led to decline investment and production and to rise unemployment. And the impact on these variables is permenant. It is indicated that investment and production has declined and unemployment has increased due to oil price uncertainty and this process is accompanied by a high volatility.
