International Journal of Econometrics and Financial Management
ISSN (Print): 2374-2011 ISSN (Online): 2374-2038 Website: http://www.sciepub.com/journal/ijefm Editor-in-chief: Tarek Sadraoui
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International Journal of Econometrics and Financial Management. 2013, 1(1), 1-4
DOI: 10.12691/ijefm-1-1-1
Open AccessArticle

An Econometrics Analysis of Oil Price Volatility

Muhammad Jawad1,

1Department of Leadership and Management Sciences, National Defence University Islamabad

Pub. Date: September 11, 2013

Cite this paper:
Muhammad Jawad. An Econometrics Analysis of Oil Price Volatility. International Journal of Econometrics and Financial Management. 2013; 1(1):1-4. doi: 10.12691/ijefm-1-1-1

Abstract

The main objectives of this research are firstly, to determined the variables which may cause the oil volatility. Secondly, to analyze that how much these variables cause the oil volatility. Secondary data from 1973 to 2011 were used to estimate the coefficients. GARCH (1, 1) model is used to analyze the volatility among the variable. Oil price, Oil supply and oil demand are stationary at 1st Difference through ADF test. It is found through Generalized Autoregressive Conditional Heteroskedasticity (GARCH1, 1) that oil demand has a significant effect on the oil price. Government should make a proper plan and procedure according to economic growth and requirement which would help to maintain the equilibrium of oil demand and supply and decreased the impact of oil price volatility on the economic growth. Exploration the oil alternatives that steadily decrease the impact of the oil price volatility, will make potential of the economy stronger to face volatility crisis.

Keywords:
oil Price volatility oil demand oil supply GARCH (1 1)

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