Document Type : Research Paper

Abstract

Investigate the causes of changing the oil price and modeling for predicting its volatility has always been one of the most important fields of Iran's economic literature study due to its position in Iran's economy.With the development of oil bourse and oil futures market, oil market changed the crude oil price formation so that the cash flow between financial markets and oil market will deviant the crude oil price from its long term direction by changing in interest rate in short-term. For this purpose, Fisher price jump model and Frankel theory will be used for test by using daily time series data of 2005-13 about Iran's light crude oil in different areas (different markets), as well as multivariate GARCH technique method.

Keywords

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