International Oil Price Volatility Risk from the Perspective of Finance

Ying Ma and Bin Wang

Nowadays, the international oil price remains high and has frequent volatility, the global oil supply and demand risk has turned into the volatility of financial risk. This study aims at uncovering the mystery behind the volatility of international oil price mechanism and finding a better way to calculate the value of Risk (VaR) of the volatility international oil price. This paper calculated VaR using traditional ARCH-class models and SWARCH model. Based on the results which is calculated by the two models, we found out that the SWARCH model is better on the prediction of international oil price volatility risk, which will have a very important reference meaning, for making the corresponding rules and regulations, and also, it is important for expanding the analysis of financial market.

JEL Codes: F124

DOI : http://dx.doi.org/10.21102/irbrp.2016.03.121.08