Abstract:This paper uses autoregressive jump intensity (ARJI) model to show that the oil price has both GARCH and conditional jump component. In fact, the distribution of oil prices is not normal, and oil price returns have conditional heteroskedasticity. Here the authors compare constant jump intensity with the dynamic jump intensity and evidences demonstrate that oil price returns have dynamic jump intensity. Therefore, there is strong evidence of time varying jump intensity Generalized Autoregressive Heteroscedastic… Show more
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.