The oil stock fluctuations in the United States

Aziz Hayat; Paresh Kumar Narayan

doi:10.1016/j.apenergy.2009.07.010

The oil stock fluctuations in the United States

Aziz Hayat, Paresh Kumar Narayan

Research output: Contribution to journal › Article › Research › peer-review

15 Citations (Scopus)

Abstract

The goal of this paper is to examine whether the volatility of the growth in the US oil stocks has changed overtime, and if it has then whether or not this change is real. We find that the growth in volatility of oil stocks has declined overtime. We conduct a Monte Carlo simulation exercise to investigate whether this decline is real or an artefact of the growth definition. Our findings support the fact that the decline in growth volatility of oil stocks is an artefact of the growth definition. This is because a data generating process having a unit root with drift has a tendency to grow and thereby pulls the variance of growth down with time.

Original language	English
Pages (from-to)	178-184
Number of pages	7
Journal	Applied Energy
Volume	87
Issue number	1
DOIs	https://doi.org/10.1016/j.apenergy.2009.07.010
Publication status	Published - Jan 2010
Externally published	Yes

Keywords

Crude oil volatility
Growth
Unit root

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10.1016/j.apenergy.2009.07.010

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The oil stock fluctuations in the United States

Abstract

Keywords

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