Oil Price Volatility, the Global Financial Crisis, and the Day-of-the-Week Effect

Abstract

In this study the author investigated the day-of-the-week effect in the UK Brent crude oil market using the GARCH (1, 5) and GJR-GARCH (1, 5) models. The backdrop of the study is the Asian and global financial crises of 1997 and 2008, respectively. Daily data were used over the period of January 2, 1997, to May 27, 2009. Results show the presence of the day-of-the-week effect in both return and volatility in the oil market. More specifically, there are significant positive Thursday and Friday effects in return and significant Thursday effects in volatility.

KEYWORDS:

• Asian financial crisis
• day-of-the-week effect
• GARCH
• global financial crisis
• oil market
• volatility
• volatility persistence

Notes

Note. p values are given in parentheses.

*Significance at the 5% level.

Note. p values are given in parentheses.

*Significance at the 5% level.

Notes. p values are given in parentheses.

*Significance at the 5% level.

LL, AIC, SC, HQC, and N are the maximum log-likelihood, Akaike information criterion, Schwarz criterion, Hannan-Quinn criterion, and number of observations, respectively.

Note. p values are given in parentheses.

*Significance at the 5% level.