Oil market volatility: comparison of COVID-19 crisis with the SARS outbreak of 2002 and the global financial crisis of 2008

Figures & data

Table 1. Descriptive statistics of daily oil returns.

	Daily Oil Returns (SARS)	Daily Oil Returns (GFC)	Daily Oil Returns (COVID-19)
Mean	0.001177	0.000679	−0.009332
Median	0.00000	0.00000	0.002146
Maximum	0.065032	0.187292	0.376623
Minimum	−0.108994	−0.122478	−3.059661
Std. Dev.	0.020309	0.02903	0.186673
Skewness	−0.312064	0.665811	−13.66261
Kurtosis	5.091592	9.739756	215.8561
Jarque-Bera	186.0059	1791.54	656275.3
Probability	0.00000	0.00000	0.000000
Sum	1.102809	0.618912	−3.191714
Sum Sq. Dev.	0.386067	0.766916	11.88281
Observations	937	911	342

Source: Author's computation.

Table 2. Descriptive statistics of daily oil price spread.

	Daily Oil Price Spread (SARS)	Daily Oil Price Spread (GFC)	Daily Oil Price Spread (COVID-19)
Mean	0.031364	0.041077	0.057948
Median	0.028942	0.032465	0.036866
Maximum	0.089655	0.253882	3.280880
Minimum	0.009957	0.010595	−2.185714
Std. Dev.	0.012512	0.025837	0.220238
Skewness	1.167552	2.286462	6.139563
Kurtosis	4.514337	11.35484	166.1491
Jarque-Bera	302.4138	3443.389	382565.2
Probability	0.00000	0.00000	0.000000
Sum	29.38832	37.42158	19.87622
Sum Sq. Dev.	0.146525	0.607469	16.58864
Observations	937	911	343

Source: Author's computation.

Figure 1. Daily oil returns and daily oil price spread during SARS, GFC and COVID-19.

Source: Author's computation.

Table 3. Results of symmetric GARCH (1,1).

Estimated Coefficients	SARS	GFC	COVID-19
Mean Equation
${\Phi }_0$	0.001456**	0.001373**	0.004806***
${\Phi }_1$	−0.043332	−0.057670*	−0.127138
Variance Equation
$\omega$	1.61E − 05	4.21E − 06*	−7.25E − 05***
${\alpha }_1$(Arch)	0.022185	0.040807***	1.178798***
${\beta }_1$ (GARCH)	0.950004***	0.954272***	0.807041***
R-squared	−0.000853	0.003181	−0.102295
Adjusted R-squared	−0.001924	0.002083	−0.105547
Akaike info criterion	−5.042325	−4.698034	−2.530415
Schwarz criterion	−5.011289	−4.666297	−2.474229

*** Significance at 1%

** Significance at 5%

* Significance at 10%

Source: Author's computation.

Figure 2. Conditional standard deviations in oil returns during SARS, GFC and COVID-19 Crises.

Source: Author's computation.

Table 4. Results of Asymmetric GARCH (1,1) [GJR-GARCH].

Estimated Coefficients	SARS	GFC	COVID-19
Mean Equation
${\Phi }_0$	0.001550**	0.001181*	−0.006267***
${\Phi }_1$	−0.026316	−0.062905*	0.086066
Variance Equation
$\omega$	0.000131***	4.53E − 06*	0.000218***
${\alpha }_1$(Arch)	−0.142083***	0.009584	0.128187***
${\gamma }_1$(Asymmetry Parameter)	0.329954***	0.060303**	15.98970***
${\beta }_1$ (GARCH)	0.735900***	0.955678***	0.259966***
R-squared	−0.000294	0.003432	0.046162
Adjusted R-squared	−0.001365	0.002335	0.043348
Akaike info criterion	−5.068337	−4.702183	−3.262394
Schwarz criterion	−5.032128	−4.665156	−3.194971

*** Significance at 1%

** Significance at 5%

* Significance at 10%

Source: Author's computation.