Naslov
Measuring oil price volatility as a means to managing commodity risk

Autori
Žiković, Saša ; Fatur, Tanja

Izvornik
Nafta : exploration, production, processing, petrochemistry (0027-755X) 58 (2007), 3; 133-145

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
commodity risk ; oil price volatility ; VaR ; parametric approach

Sažetak
In this paper the authors measure price volatility of crude oil prices and the associated level of risk from investing in oil, over a six-year period. With a parametric normal VaR model used in banking and finance for measuring equity and FX risk, authors measure the maximum expected loss from buying/selling oil over a specified holding period and the determined confidence level. It is established that a simple VaR model such as a normal parametric model gives satisfactory results in forecasting and measuring oil price volatility over the tested time period and confidence intervals. The applicability of Holt-Winter seasonal algorithm as a means of forecasting oil prices is also presented and analysed.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

POVEZANOST RADA