.

. .
MSc (..../ )
Team Site: A.E.A.C. Co. Project Manager-Site Administrator
e-mail: s_4goum@yahoo.com, My Blog, Twitter, Linkedin
16/02/2014

.

.

.

Keywords: gasoline, crude oil, cointegration, price shocks, greek market, arch, egarch, ecm

, ,
. , ,

.

/ ,

, , , ,
, , , , ,
, , ,
, , , .

( ) .


.
(
),

.
,
,
.

(32%-35%), (25%), (10%13%), (3%), .. ,
, . (27%).
,
.


.
,
. ,
95 100 , ,
, 98
.
.



.

,
.
1) Brent Crude ,
,
2) (WTI), ().
3) ( ),
.
4) Tapis, .
5) Minas, .
6) 1 (OPEC basket).
40%
.
light sweet,
intermediate heavy .


. ,
Brent, W OPEC
basket.

: ( ) .
, , , , , (1960)
, , , , ,
.


(
Motor Oil)
.
(. BP, Aegean, Jet Oil, Avin, Shell, EKO, Elin, Revoil
) ().



.
. ,
, ,
,
( / / ,
, /
, , / /
)

.
,
.
,
, ,
.

,
56%-59% .
33%-35% 6%-11%
, 0.56-0.59
, 0.33-0.35 0.06-0.11
.


.
,
. ,
,
,
, (,
) .
, ,
,
90% ,
.

2010, David J. Ramberg, ,
.
WTI 1997-2009
1) ( ,
, ), 2)

.
VECM (Vector Error Correction Model) Conditional ECM,

.
Peter Hartley, Kenneth B. Medlock
Jennifer Rosthal 2007, .
1990-2006
WTI (crude oil), (natutal gas)
(residual fuel oil).
.
(OLS) VECM,

 WTI

.

,
.

,
. ,
, .
To 1998, Nathan S. Balke, Stephen P.A. Brown Mine K. Yucel
,

.
WTI
, 1987-1996.
VAR

, . ,


. VAR

, ECM
.
, David C. Broadstock,
Hong Cao Dayong Zhang to 2012

. 2000-2011
Brent

(,

).

DCC GARCH (Dynamic Conditional Correlation

GARCH)

 , 2008,
,


.

95 ,

(....), , Brent
(WTI).
-.

01/06/2003 30/01/2014.

.
1)
. /
/ . /
/ . 159 2 ,
.
2) ( , )
3) (stationary) , (0),
, (1), Dickey-Fuller.

: How is crude oil measured?

Crude oil is measured in barrels. When crude oil first came into large-scale commercial use in the
United States in the 19th century, it was stored in wooden barrels. One barrel equals 42 US gallons, or
159 litres. In some cases crude oil is also measured in tons. The number of barrels contained in each
ton vary depending on the type and specific gravity of each crude, however the average number
considered would be around 7.33 barrels per each ton. LINK

4) (cointegration),
, Engle-Granger.
arch(p) .
5) ECM (Error Correction Model)
.
6) EGARCH(p,q,r)
.

. Dickey-Fuller
.
(
/ /) .
, , (0)
(1).
,

.
,
, (1),
D[ln(Yt)]= ln(Yt)- ln(Yt-1)=ln(Yt/Yt-1)= r,
.
-
AR():

Yt =+ 1*Yt-1+ 2*Yt-2+ 3*Yt-3++ *Yt-+ *t+ ut ( )

Yt =+ *t + *Yt-1+ 1*Yt-1+ 2*Yt-2++ -1*Yt-+1 + ut
( Yt= Yt -Yt-1, Yt-1= Yt-1 -Yt-2 ..).
p 1

Yt =+ *t + *Yt-1+

i =1

* t i

( , --,
--, )

 Dickey-Fuller (ADF)

H0: =0 ( / )
H1: <0 ( / )
ADF statistic < ADF 0
.
(,
/, ).

. Engle-Granger
,
EngleGranger. , ,
(1), =a+b*X,
(0).
, .
Engle-Granger ut
ut AR(1) ut= *ut-1 +t ut= 1*ut-1 +t .
t ~(0,2), 1=-1.
Engle-Granger

0: 1=0 /
1: 1<0 /
ADF-statistic 1< ADF H0

GASt=+*OILt+ut ,
GAS / OIL
/.

 ,
(WTI, Brent, OPEC)

ERROR CORRECTION MODEL (ECM)

, (Error Correction Model-ECM)
,

.

ECM

(Y,X)
Yt=a+b*Xt+ et.
ECM 1) 2)

().
(,) -
Yt=a+b*Xt+ et. -

(et). ECM
ECM .
ECM(1,1)
.
ECM(1,1)

) Yt= c0+c1*Xt+ c2*et-1, Y= Yt-Yt-1, X= Xt-Xt-1

et-1 Yt=a+b*Xt+ et
) Yt= d+c1*Xt+c2* (Yt-1-a-b*Xt-1)+ut. et-1 =Yt-1-a-b*Xt-1
Yt= c0+c1*Xt+c2*Yt-1-+c3*Xt-1+ut

 ECM

.
c2 t-1
.

, . ECM
, c2
et-1
c1 t-1
, Y t
1 . ECM ,
c1
t-1

ECM(1,1)
.

/.
ECM(1,1)
GASt= c0+c1*BRENTt+c2*GASt-1-+c3*BRENTt-1+ut
GASt= c0+c1*OPECt+c2*GASt-1-+c3*OPECt-1+ut
GASt= c0+c1*WTIt+c2*GASt-1-+c3*WTIt-1+ut
=t-Xt-1,

 ARCH-GARCH
arch-garch 3

.
,
t=a+b*t+ut,
/ .
arch(p)
p

Var(ut)= 0 + ai * u 2t -i ,

ARCH(p)

i =1

garch(p,q) arch
,
p

i =1

i =1

Var(ut)= 0 + a i * u t2i + * Var (u t i ) , GARCH(p,q)

p

ai * u 2t -1 arch
i =1

i =1

*Var (ut i ) garch

ARCH(p)

u t2 = 0 + 1 * u 2t -1 + 2 * u

2
t -2

+ + p * u

2
t -p

+ t (1)

t=a+b*t+ut ut
(1)
2
R .
.

ARCH (AutoRegressive Conditional Heteroskedastity)

GARCH (General AutoRegressive Conditional Heteroskedastity

0: 1=.==0 / arch(p)
1: <>0 / arch(p)
2
2
T * R
. . < , , , 0

ARCH .

EGARCH(p,q,r)
arch(p)
GARCH (Exponential
Garch) Nelson (1991).
GARCH ,

.
EGARCH(p,q,r) :
q
p
| |
| | r

log t2 = c + i * log t2-i + i * t i E t i + i * t i
i =1
i =1
t -i i =1
t -i
t -i

GARCH(q)

* log
i =1

i =1

| t i |
| t i |

E
*

t
i
t
i

2
t -i

, ARCH(p)

i * t i

i =1

t -i

(t- >0) (t- <0),

.
(1+i)*|t-1| (1-i)*|t-1|. i <>0 .

i<0.


.
,
.
.

EGARCH(1,1,1)
.
EGARCH(1,1,1)
dlGASt= c0+c1*dlOILt+ut ,

dlGASt dlOILt+ut 4
.

| |

| |
log t2 = c + 1 * log t2-1 + a1 * t 1 E t i + 1 * t i
t -1
t -i
t -i

log(2)=c+1*GARCH(1)+ 1*ARCH(1)+ 1* [Threshold term(1)]

1) .
(,
, , ).
,
. , ,
( ),
, ,
.

ln

Yt
Yt 1

2) ().
,
, .
,
.

1)

1.

M

.

BRENT
0,365
0,350
0,622
0,142
0,127
0,030
1,854

OPEC
0,351
0,332
0,608
0,140
0,126
0,083
1,830

WTI
RATES(euro/usd)
0,349
1,321
0,350
1,313
0,564
1,590
0,148
1,089
0,101
0,098
-0,174
0,437
2,096
3,039

GAS
1,210
1,074
1,864
0,712
0,363
0,359
1,541

2.

M

.

r_BRENT
0,002
0,004
0,246
-0,231
0,040
-0,269
86,008

r_OPEC
0,002
0,005
0,234
-0,228
0,037
-0,336
10,411

r_WTI
0,002
0,005
0,208
-0,321
0,043
-1,146
12,857

r_RATES
0,000
0,001
0,194
-0,197
0,017
-0,154
72,541

r_GAS
0,002
0,001
0,113
-0,066
0,015
0,450
11,616

2)
p 1

Yt =+ *t + *Yt-1+

i =1

* t i

Dickey-Fuller
,
. 1)

2) ,

1. ( . /)

2.0
1.6
1.2
0.8
0.4
0.0
100

200
BRENT1
GAS

300

400
WTI1
OPEC1

500

I)

3.

ADF- stat

BRENT
OPEC
WTI
RATES
(euro/usd)
GAS

ADFCritical

(<0)

t- Stat

ADFCritical

(=0)

t- Stat

ADFCritical

.
(=0)

0,228
0,265
0,054

-1,94
-1,94
-1,94

2,458
2,426
2,259

2,78
2,78
2,78

2,025
1,956
2,353

2,25
2,52
2,52

0,081
1,140

-1,94
-1,94

0.983
1,897

2,78
2,78

3,208
1,371

2,52
2,52

* =5%

,
(0), . ,
Engle-Granger,
.

,

II)

4.

ADF- stat

BRENT
OPEC
WTI
RATES
GAS

-17,988
-18,049
-17,459
-20,245
-12,512

ADFCritical

-3.41
-3.41
-3.41
-3.41
-3.41

(<0)

t- Stat

-0,399
-0,406
-0,471
-0,424
-0,168

ADFCritical

1,64
1,64
1,64
1,64
1,64

* =5%

(=0)

t- Stat

1,048
1,105
0,799
0,411
1,470

ADFCritical

.
(=0)

1,64
1,64
1,64
1,64
1,64


. ,
(1),
(0) .
( 5) .

3)

5.

ADF- stat

GASt=a+b*BRENTt+ut
GASt=a+b*OPECt+ut
GASt=a+b*WTIt+ut

ADF- Critical

-4,98
-4,77
-4,40

-3.25
-3.25
-3.25

(ut )
NAI
NAI
NAI

* =5%

,
ECM
.

4) ECM(1,1)

6.

(c0, c1, c2, c3)

t-stat

GASt= c0+c1*BRENTt+c2*GASt-1-+c3*BRENTt-1+ut

0,003/0,515/-0,0069/ 0,0184

GASt= c0+c1*OPECt+c2*GASt-1-+c3*OPECt-1+ut
GASt= c0+c1*WTIt+c2*GASt-1-+c3*WTIt-1+ut

t-critical

R2 /D-W

1,34/11,34/-2,46/2,35

1,64

0,59/2,04

0,003/0,602/-0,0062/0,0170

1,38/12,20/-2,33/2,22

1,64

0,61/2,05

0,001/0,455/-0,0043/0,0140

0,72/9,65/-2,26/2,14

1,64

0,54/2,04

* =5%
*R2 /D-W: (Durbin-Watson)

 ,
.
.
I) GASt= c0+c1*BRENTt+c2*GASt-1-+c3*BRENTt-1+ut.

,
c0.
. c1=0,515,
Brent
, 1% t Brent,
0,515%.
c2==-0,0069
t, 0,69%.
, ,
2,7% .
, DurbinWatson 2,
R2=0,59
59%
ECM(1,1)
II) GASt= c0+c1*OPECt+c2*GASt-1-+c3*OPECt-1+ut.

, .
,
c0. c1=0,602,
OPEC ,
1% t OPEC,
0,602%. c2==-0,0062
t,
0,62%, 2,48%
.

 ,
Durbin-Watson
2 R2=0,61
61%
ECM(1,1)
III) GASt= c0+c1*WTIt+c2*GASt-1-+c3*WTIt-1+ut.

, ECM
WTI. ,
c0. c1=0,455,
WTI ,
1% t WTI,
0,455%. c2==-0,0043
t,
0,43%,
1,72% .
,
Durbin-Watson
2 R2=0,51
51%
ECM(1,1).

OPEC,
R2
( c1) .
OPEC 40%

,
--

 .
OPEC
,
.
, BRENT
WTI.
ECM
OPEC, .

5) ARCH(p, p=1)

,
Dickey-Fuller
. ARCH(1) .
dlGAS dlOIL 5
/
7.
ARCH(1)

dlGASt=a+b*dlBRENTt+ut
dlGASt=a+b*dlOPECt+ut
dlGASt=a+b*dlWTIt+ut

T*R -stat

4,15
4,68
4,43

X20.05,1

ARCH(1) effect

3,841
3,841
3,841

* =5%

arch(1)
, EGARCH(1,1,1)

ln

Yt
Yt 1

6) EGARCH(1,1,1)

. ,
(threshold term)
.
To
dlGASt=+*dlOILt+ut

| |
| |

log t2 = c + 1 * log t2-1 + a1 * t 1 E t 1 + 1 * t 1
t -1
t -1
t -1
log(2)=c+1*GARCH(1)+ 1*ARCH(1)+ 1* [Threshold term(1)]

dlGAS, dlOIL
/

8.

Var(ut)= c+ 1*ARC(1) +1*GARCH(1)+ 1*(Threshold term)

dlGASt=+*dlOILt+ut

t-stat
,

z0.05

R / D-W

dlGASt=+*dlWTIt

0,01

0,123

2,60 / 13,12

1,64

0,54/2,08

1,35

0,236

0,862

-0,067

dlGASt=+*dlOPECt

0,01

0,205

1,67/ 24,69

1,64

0,65/2,05

1,82

0,242

0,811

-0,09

dlGASt=+*dlBRENTt

0,01

0,157

2,25 / 17,89

1,64

0,61/2,02

1,41

0,205

0,853

-0,082

t-stat

c, 1 ,1, 1
5,68/ 7,11/
33,31/ -3,25
6,06/ 7,08/
24,70/ -4,11
5,95/ 6,83/

* =5%

32,79/ -4,16

z0.05
1,64
1,64
1,64

,
.
( 1),
. .

I) dlGASt=+*dlWTIt

, ,
,
WTI, .
, 1% WTI,
0,123% . 1,
,
. ,
,
.
1-1 =1,067.
, EGARCH(1,1,1) .
R2 =0,54 54%
, Durbin-Watson(D-W)=2,08

1+1+1 ,
EGARCH(1,1,1) ,
.
II) dlGASt=+*dlOPECt

, ,
, OPEC,
. ,
1% OPEC, 0,205% .

 1, ,

. 1-1 =1,090.
, EGARCH(1,1,1) .
R2 =0,65 65%
, Durbin-Watson=2,05
. 1+1+1
, EGARCH(1,1,1)
.
III) dlGASt=+*dlBRENTt

, BRENT,
, ,

, BRENT,
. =0,157%,
BRENT 1% 0,157%.
1, ,
1-1 =1,082,
.
, EGARCH(1,1,1) .
R2 =0,61 61%
, Durbin-Watson=2,02
. 1+1+1
, EGARCH(1,1,1)
.

EGARCH(1,1,1)
OPEC, ,

( ),
( 1). ,

 ,
OPEC

.
OPEC
R2.
BRENT WTI.
ECM,
OPEC
BRENT WTI.

.


.
. ,
.
1)

.
2)

.

, 90%
,
. ,
, ,

.
3) ECM

,
,

 . , ECM
,
,
.
,
.

.
, OPEC
, OPEC
40% ,
.
Brent WTI.
4) EGARCH,

.
.
. ,
,
.
,
.
,
,
.
, OPEC
, ECM.
Brent WTI.

[1] The relation between crude oil and natural gas spot prices and its stability over
time (David J. Ramberg- 2010)
[2] The relation between crude oil and natural gas spot price (Peter Hartley, Kenneth
B. Medlock Jennifer Rosthal- 2007)
[3] Crude oil and gasoline prices: An asymmetric relationship? (Nathan S. Balke,
Stephen P.A. Brown Mine K. Yucel- 1998)
[4] The relation between crude oil and natural gas spot price (Jose A. Villar, Frederick
L. Joutz- 2006)
[5] Oil shocks and their impact on energy related stocks in China (David C.
Broadstock, Hong Cao Dayong Zhang- 2012)
[6] The Economic Effects of Energy Price Shocks (Lutz Kilian-2008)
[7] . (J. Fourastie- F. Laslier. - 2001)
[8] . ( .- . -1998)
[9] - 1 2. ( .
Gutenberg-2002)
[10] . (John Dinardo- Jack Johnson. 2004)
[11] Econometric Analysis (William H. Green. Pearson Education- 2008)
www.Wikipedia.com
www.opec.org
http://www.ypeka.gr/
http://www.eia.gov/