ANALYSIS OF OIL PRICE VOLATILITY IN CRISIS CONTEXT

Abstract

The purpose of this study is to analyze the volatility of the price of oil of the type and the type WTI BRENT, estimating the reaction caused by shocks, the persistence of them and verifying the presence of asymmetry of information in crisis context. For this purpose, shall be used variants of the ARCH. The data used refer to the return on the logarithm of the price of oil, both type BRENT as the type WTI, and correspond to the period of the first of January to twelve November 2008, totaling 220 points. These were collected at the Instituto de Pesquisa Econômica Aplicada (IPEA). The series returns of prices of oil and the type BRENT WTI presented moderate of persistence and asymmetry of information evidence. About the leverage effect, it was found that the number of returning the price of WTI oil-type presents itself evidence of that, while the number of returning the price of oil of the type BRENT showed no evidence of the presence of the effect leverage.