The Impact of the Change in the Closing Price of WTI Crude Oil Futures on Brent Crude Oil Futures

This study investigates the impact of global financial crisis and the present COVID-19 pandemic on daily and weekly Crude oil futures using four variants of ARMA-GARCH models: ARMA-sGARCH, ARMA-eGARCH, ARMA-TGARCH and ARMA- aPARCH with dummy variables We also investigated the persistence, half-life and backtesting of the models. This study therefore seeks to contribute to the body of literature on the impact of global financial crisis and the present COVID-19 pandemic on crude oil futures market. This investigation of the impact of global financial crisis and the COVID-19 on crude oil futures has not been much studied at present. We obtained and analyzed the daily and weekly crude oil futures from secondary sources. Daily crude oil futures used in this study covers the period from the 4th January 2000 to 27th April 2020 while the weekly crude oil futures covered from 2ndJanuary 2000 to 26th April 2020 . The global financial crisis period covered from 2nd July 2007 to 31st March 2009 and the current COVID-19 pandemic covered from 1st January 2020 to 27th April, 2020. The study used both student t and skewed student t innovations with AIC, goodness-of-test fit and backtesting to select the best model. Most of the estimated ARMA-GARCH models are supported by skewed student t distribution while most of the ARMA-GARCH models exhibited high persistence values in the presence of global financial crisis and the COVID-19 pandemic. In the overall, the estimated ARMA(1,0)-eGARCH(2,1) and ARMA(1,0)-eGARCH(2,2) model for daily crude oil futures and weekly crude oil futures respectively have been significantly impacted by the global financial crisis and the Present COVID-19 pandemic while the preferred estimated models also passed the goodness-of-test fit and backtesting.This study recommends shareholders and investors should think outside the box as crude oil futures tend to be affected by global financial crisis and COVID-19 pandemic while countries also that depend mostly on crude oil are encouraged to diversify their economy in other to survive and be sustained during financial and health crisis.

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The Impact of Speculators' Activity on Crude Oil Futures Prices

SSRN Electronic Journal ◽

10.2139/ssrn.958864 ◽

2007 ◽

Cited By ~ 2

Author(s):

Ikhlaas Gurrib

Keyword(s):

Crude Oil ◽

Futures Prices ◽

Oil Futures ◽

Crude Oil Futures ◽

The Impact

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The Impact of Unconventional Monetary Policies on Unique Alternative Investments

Recent Advances and Applications in Alternative Investments - Advances in Finance, Accounting, and Economics ◽

10.4018/978-1-7998-2436-7.ch006 ◽

2020 ◽

pp. 120-142

Author(s):

Spyros Papathanasiou ◽

Andreas Papanastasopoulos ◽

Drosos Koutsokostas

Keyword(s):

Regression Analysis ◽

Real Estate ◽

Crude Oil ◽

Central Banks ◽

Monetary Policies ◽

Oil Futures ◽

Alternative Investments ◽

Dependent Variables ◽

Crude Oil Futures ◽

The Impact

This chapter investigates the impact of central banks' unconventional monetary policies on sectors of unique and traditional alternative investments beyond the stock market. More specifically, authors examine how quantitative easing (QE) programs, imposed by the FED and the ECB during the financial crisis, affected the fine wine market and rare coins in comparison with real estate, commodities, and crude oil. The methodology used in this chapter includes multiple regression analysis. As dependent variables, the LVX 50 Index, the Rare Coin Values Index, the REIT Index, the CRB Commodity Index and the Crude Oil Futures Index, are used for each sector respectively. Our empirical analysis shows that the QE programs applied had different outcomes between our sample markets. Thus, investors should evaluate the signals associated with the announcements of prospective monetary policies in their attempt to achieve a sufficient portfolio diversification and to harvest superior returns at the same time.

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Forecasting crude oil futures prices using global macroeconomic news sentiment

IMA Journal of Management Mathematics ◽

10.1093/imaman/dpz011 ◽

2019 ◽

Vol 31 (2) ◽

pp. 191-215 ◽

Cited By ~ 2

Author(s):

Zryan A Sadik ◽

Paresh M Date ◽

Gautam Mitra

Keyword(s):

Crude Oil ◽

Price Volatility ◽

Futures Contracts ◽

Model Structure ◽

Futures Prices ◽

Macroeconomic News ◽

Oil Futures ◽

Crude Oil Futures ◽

News Sentiment ◽

The Impact

Abstract We propose a method of incorporating macroeconomic news into a predictive model for forecasting prices of crude oil futures contracts. Since these futures contracts are more liquid than the underlying commodity itself, accurate forecasting of their prices is of great value to multiple categories of market participants. We utilize the Kalman filtering framework for forecasting arbitrage-free (futures) prices and assume that the volatility of oil (futures) price is influenced by macroeconomic news. The impact of quantified news sentiment on the price volatility is modelled through a parametrized, non-linear functional map. This approach is motivated by the successful use of a similar model structure in our earlier work, for predicting individual stock volatility using stock-specific news. We claim the proposed model structure for incorporating macroeconomic news together with historical (market) data is novel and improves the accuracy of price prediction quite significantly. We report results of extensive numerical experiments which justify our claim.

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Multiscale Hedging with Crude Oil Futures Based on EMD Method

Mathematical Problems in Engineering ◽

10.1155/2020/8869839 ◽

2020 ◽

Vol 2020 ◽

pp. 1-9

Author(s):

Chengli Zheng ◽

Kuangxi Su

Keyword(s):

Crude Oil ◽

Short Term ◽

Oil Futures ◽

Futures Contract ◽

Mode Decomposition ◽

Crude Oil Futures ◽

Hedging Performance ◽

The Impact ◽

Emd Method

Studying the impact of the different components in data on hedging can provide valuable guidance to investors. However, the previous multiscale hedging studies do not examine the issue from the data itself. In this study, we use the empirical mode decomposition (EMD) method to reconstruct the crude oil futures and spot returns into three different scales: short-term, medium-term, and long-term. Then, we discuss the crude oil hedging performance under the dynamic minimum-CVaR framework at different scales. Based on the daily prices of Brent crude oil futures contract from August 18, 2005, to September 16, 2019, the empirical results show that the extracted scales comprise different information of original returns, short-term information occupies the most important position, and hedging is mainly driven by short-term information. Besides, hedging relying on long-term information has the best hedging performance. Removing some information related to short-term noise from the original returns is helpful for investors.

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