Naftos kainos volatilumo tyrimas /

The main purpose of this work was based on literature analysis to determine what causes volatility in the price of crude oil, overview what methods are used to model, and forecast volatility and conduct empirical research to further analyze the causes and their effect on the price. The work consists of three main parts: the analysis of literature, the empirical research and its results, conclusion, and recommendations. Literature analysis revealed the main causes, that affect crude oil price volatility, the econometric and non-econometric methods used for volatility modeling and forecasting, as well as what relationships different methods have captured while researching volatility. After the literature analysis, the author researched econometric steps leading to volatility modeling and forecasts. It was chosen to conduct the empirical research using a statistical programming language called R. The findings of each step conducted during research were described and justified before moving on. The research revealed which historical and economic events have caused the highest volatility in crude oil prices. During the research it was also found that different types of oil identically react to the same events that cause fluctuations. Also, econometric model limitations were found that may cause inaccuracies. Lastly, the best calculated model was chosen to model and forecast volatility for 12 months into the future. The conclusions and recommendations summarize the main findings of the research and literature analysis. The author believes that the results of the study could provide useful information for future research into oil price volatility.

Grantor dc:publisher

Institutional Repository of Vilnius University

Year dc:date

2024

Author dc:creator

• Kotlova, Martina,

Statement dc:rights

• info:eu-repo/semantics/openAccess

Language dc:language

lit

Repository record dc:identifier

https://repository.vu.lt/VU:ELABAETD210583363&prefLang=en_US

OAI identifier oai:identifier

oai:vu.lt:elaba:210583363