Effects of Conditional Oil Volatility on Exchange Rate and Stock Markets Returns (original) (raw)

International Journal of Energy Economics and Policy

The underlying volatility at a given time is called conditional volatility at this particular time and is modeled by various ARMA-GARCH conditional variance equations (GARCH, EGARCH, GJR, APARCH, IGARCH). How important are oil price fluctuations and oil price volatility in foreign exchange markets and stock markets? What is the nature of the relationship between these three markets? What are the political implications if volatility, using appropriate models to determine, turns out to be important? We evaluate these questions empirically, using the specification of Narayan and Narayan (2010). This specification, in our paper, deals with the determination of volatility appropriate models, based on information criteria, of the ARMA-ARCH family conditional volatility of oil returns using daily data for each country independently (i), and revolve around an analysis of the effect of the volatility of black gold price on the returns of the other two markets in Oil Importing Developed Count...

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