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Afees A. Salisu
 
''Modelling Oil Price Volatility with the Beta-Skew-t-EGARCH Framework''
( 2016, Vol. 36 No.3 )
 
 
This paper employs the Beta-Skew-t-EGARCH framework proposed by Harvey and Succarat (2014) to model oil price volatility. It utilizes two prominent oil proxies and also accounts for structural break to gauge the robustness of results. In all, it finds that the approach seems more suitable than the standard symmetric and asymmetric GARCH models if the oil price return exhibits fat tails, leverage and skewness.
 
 
Keywords: Oil price; Volatility; Student's t; Skewness; Leverage; Persistence
JEL: C5 - Econometric Modeling: General
Q4 - Energy: General
 
Manuscript Received : Dec 06 2015 Manuscript Accepted : Jul 08 2016

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