Modelling the oil price volatility and macroeconomic variables in South Africa using the symmetric and asymmetric GARCH models

This article employed the ARCH, GARCH and EGARCH models to model the oil price volatility and macroeconomic variables in South Africa for the period 1990Q1 to 2018Q2. The macroeconomic variables used in the study are GDP, inflation, interest rate and exchange rates. According to ARCH (1) and GARCH (...
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Autor*in:	Sekati, Boitumelo Nnoi Yolanda [verfasserIn] Tsoku, Johannes Tshepiso [verfasserIn] Metsileng, Lebotsa Daniel [verfasserIn]

Format:	E-Artikel
Sprache:	Englisch

Erschienen:	2020

Rechteinformationen:	Open Access Namensnennung 4.0 International ; CC BY 4.0

Schlagwörter:	ARCH model EGARCH model GARCH model macroeconomic variables oil price

Übergeordnetes Werk:	Enthalten in: Cogent economics & finance - Abingdon : Taylor & Francis, 2014, 8(2020), 1, Artikel-ID 1792153, Seite 1-12
Übergeordnetes Werk:	volume:8 ; year:2020 ; number:1 ; elocationid:1792153 ; pages:1-12

Links:	Link aufrufen Link aufrufen Link aufrufen Link aufrufen

DOI / URN:	10.1080/23322039.2020.1792153

Katalog-ID:	1800113234

Internformat


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allfields	10.1080/23322039.2020.1792153 doi 10419/269943 hdl (DE-627)1800113234 (DE-599)KXP1800113234 DE-627 ger DE-627 rda eng Sekati, Boitumelo Nnoi Yolanda verfasserin (DE-588)1259944646 (DE-627)1807096467 aut Modelling the oil price volatility and macroeconomic variables in South Africa using the symmetric and asymmetric GARCH models Boitumelo Nnoi Yolanda Sekati, Johannes Tshepiso Tsoku and Lebotsa Daniel Metsileng 2020 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier DE-206 Open Access Controlled Vocabulary for Access Rights http://purl.org/coar/access_right/c_abf2 This article employed the ARCH, GARCH and EGARCH models to model the oil price volatility and macroeconomic variables in South Africa for the period 1990Q1 to 2018Q2. The macroeconomic variables used in the study are GDP, inflation, interest rate and exchange rates. According to ARCH (1) and GARCH (1, 1) models, exchange rate and interest rate have a negative effect on the oil price, while GDP and inflation suggesting a positive effect. The results for GDP and inflation imply that a 1% increase in GDP and inflation may lead to an increase in oil price. The negative effect on interest rate and exchange rate led by their negative values implies that a 1% increase in interest rate and exchange rate may lead to a decrease in oil price. The EGARCH (1, 1) model revealed that oil price is negatively affected by all the macroeconomic variables. This implies that a 1% increase in these variables may lead to a decrease in oil price. The symmetric and asymmetric techniques revealed that the South African oil prices are volatile. The article recommends that South African policy makers should have a view on the impact of oil price volatility on the South African economy. DE-206 Namensnennung 4.0 International CC BY 4.0 cc https://creativecommons.org/licenses/by/4.0/ ARCH model (dpeaa)DE-206 EGARCH model (dpeaa)DE-206 GARCH model (dpeaa)DE-206 macroeconomic variables (dpeaa)DE-206 oil price (dpeaa)DE-206 Tsoku, Johannes Tshepiso verfasserin (DE-588)1174335165 (DE-627)104388811X (DE-576)515843806 aut Metsileng, Lebotsa Daniel verfasserin aut Enthalten in Cogent economics & finance Abingdon : Taylor & Francis, 2014 8(2020), 1, Artikel-ID 1792153, Seite 1-12 Online-Ressource (DE-627)786946385 (DE-600)2773198-4 (DE-576)407862285 2332-2039 nnns volume:8 year:2020 number:1 elocationid:1792153 pages:1-12 https://www.tandfonline.com/doi/pdf/10.1080/23322039.2020.1792153 Verlag kostenfrei https://doi.org/10.1080/23322039.2020.1792153 Resolving-System kostenfrei https://www.tandfonline.com/doi/epub/10.1080/23322039.2020.1792153 Verlag kostenfrei https://hdl.handle.net/10419/269943 Resolving-System kostenfrei GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2009 GBV_ILN_2014 GBV_ILN_2034 GBV_ILN_2055 GBV_ILN_2108 GBV_ILN_2111 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 GBV_ILN_2403 GBV_ILN_2403 ISIL_DE-LFER AR 8 2020 1 1792153 1-12 26 01 0206 4120613429 x1z 25-04-22 2403 01 DE-LFER 4132980499 00 --%%-- --%%-- n --%%-- l01 12-05-22 2403 01 DE-LFER https://doi.org/10.1080/23322039.2020.1792153 2403 01 DE-LFER https://www.tandfonline.com/doi/pdf/10.1080/23322039.2020.1792153
spelling	10.1080/23322039.2020.1792153 doi 10419/269943 hdl (DE-627)1800113234 (DE-599)KXP1800113234 DE-627 ger DE-627 rda eng Sekati, Boitumelo Nnoi Yolanda verfasserin (DE-588)1259944646 (DE-627)1807096467 aut Modelling the oil price volatility and macroeconomic variables in South Africa using the symmetric and asymmetric GARCH models Boitumelo Nnoi Yolanda Sekati, Johannes Tshepiso Tsoku and Lebotsa Daniel Metsileng 2020 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier DE-206 Open Access Controlled Vocabulary for Access Rights http://purl.org/coar/access_right/c_abf2 This article employed the ARCH, GARCH and EGARCH models to model the oil price volatility and macroeconomic variables in South Africa for the period 1990Q1 to 2018Q2. The macroeconomic variables used in the study are GDP, inflation, interest rate and exchange rates. According to ARCH (1) and GARCH (1, 1) models, exchange rate and interest rate have a negative effect on the oil price, while GDP and inflation suggesting a positive effect. The results for GDP and inflation imply that a 1% increase in GDP and inflation may lead to an increase in oil price. The negative effect on interest rate and exchange rate led by their negative values implies that a 1% increase in interest rate and exchange rate may lead to a decrease in oil price. The EGARCH (1, 1) model revealed that oil price is negatively affected by all the macroeconomic variables. This implies that a 1% increase in these variables may lead to a decrease in oil price. The symmetric and asymmetric techniques revealed that the South African oil prices are volatile. The article recommends that South African policy makers should have a view on the impact of oil price volatility on the South African economy. DE-206 Namensnennung 4.0 International CC BY 4.0 cc https://creativecommons.org/licenses/by/4.0/ ARCH model (dpeaa)DE-206 EGARCH model (dpeaa)DE-206 GARCH model (dpeaa)DE-206 macroeconomic variables (dpeaa)DE-206 oil price (dpeaa)DE-206 Tsoku, Johannes Tshepiso verfasserin (DE-588)1174335165 (DE-627)104388811X (DE-576)515843806 aut Metsileng, Lebotsa Daniel verfasserin aut Enthalten in Cogent economics & finance Abingdon : Taylor & Francis, 2014 8(2020), 1, Artikel-ID 1792153, Seite 1-12 Online-Ressource (DE-627)786946385 (DE-600)2773198-4 (DE-576)407862285 2332-2039 nnns volume:8 year:2020 number:1 elocationid:1792153 pages:1-12 https://www.tandfonline.com/doi/pdf/10.1080/23322039.2020.1792153 Verlag kostenfrei https://doi.org/10.1080/23322039.2020.1792153 Resolving-System kostenfrei https://www.tandfonline.com/doi/epub/10.1080/23322039.2020.1792153 Verlag kostenfrei https://hdl.handle.net/10419/269943 Resolving-System kostenfrei GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2009 GBV_ILN_2014 GBV_ILN_2034 GBV_ILN_2055 GBV_ILN_2108 GBV_ILN_2111 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 GBV_ILN_2403 GBV_ILN_2403 ISIL_DE-LFER AR 8 2020 1 1792153 1-12 26 01 0206 4120613429 x1z 25-04-22 2403 01 DE-LFER 4132980499 00 --%%-- --%%-- n --%%-- l01 12-05-22 2403 01 DE-LFER https://doi.org/10.1080/23322039.2020.1792153 2403 01 DE-LFER https://www.tandfonline.com/doi/pdf/10.1080/23322039.2020.1792153
allfields_unstemmed	10.1080/23322039.2020.1792153 doi 10419/269943 hdl (DE-627)1800113234 (DE-599)KXP1800113234 DE-627 ger DE-627 rda eng Sekati, Boitumelo Nnoi Yolanda verfasserin (DE-588)1259944646 (DE-627)1807096467 aut Modelling the oil price volatility and macroeconomic variables in South Africa using the symmetric and asymmetric GARCH models Boitumelo Nnoi Yolanda Sekati, Johannes Tshepiso Tsoku and Lebotsa Daniel Metsileng 2020 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier DE-206 Open Access Controlled Vocabulary for Access Rights http://purl.org/coar/access_right/c_abf2 This article employed the ARCH, GARCH and EGARCH models to model the oil price volatility and macroeconomic variables in South Africa for the period 1990Q1 to 2018Q2. The macroeconomic variables used in the study are GDP, inflation, interest rate and exchange rates. According to ARCH (1) and GARCH (1, 1) models, exchange rate and interest rate have a negative effect on the oil price, while GDP and inflation suggesting a positive effect. The results for GDP and inflation imply that a 1% increase in GDP and inflation may lead to an increase in oil price. The negative effect on interest rate and exchange rate led by their negative values implies that a 1% increase in interest rate and exchange rate may lead to a decrease in oil price. The EGARCH (1, 1) model revealed that oil price is negatively affected by all the macroeconomic variables. This implies that a 1% increase in these variables may lead to a decrease in oil price. The symmetric and asymmetric techniques revealed that the South African oil prices are volatile. The article recommends that South African policy makers should have a view on the impact of oil price volatility on the South African economy. DE-206 Namensnennung 4.0 International CC BY 4.0 cc https://creativecommons.org/licenses/by/4.0/ ARCH model (dpeaa)DE-206 EGARCH model (dpeaa)DE-206 GARCH model (dpeaa)DE-206 macroeconomic variables (dpeaa)DE-206 oil price (dpeaa)DE-206 Tsoku, Johannes Tshepiso verfasserin (DE-588)1174335165 (DE-627)104388811X (DE-576)515843806 aut Metsileng, Lebotsa Daniel verfasserin aut Enthalten in Cogent economics & finance Abingdon : Taylor & Francis, 2014 8(2020), 1, Artikel-ID 1792153, Seite 1-12 Online-Ressource (DE-627)786946385 (DE-600)2773198-4 (DE-576)407862285 2332-2039 nnns volume:8 year:2020 number:1 elocationid:1792153 pages:1-12 https://www.tandfonline.com/doi/pdf/10.1080/23322039.2020.1792153 Verlag kostenfrei https://doi.org/10.1080/23322039.2020.1792153 Resolving-System kostenfrei https://www.tandfonline.com/doi/epub/10.1080/23322039.2020.1792153 Verlag kostenfrei https://hdl.handle.net/10419/269943 Resolving-System kostenfrei GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2009 GBV_ILN_2014 GBV_ILN_2034 GBV_ILN_2055 GBV_ILN_2108 GBV_ILN_2111 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 GBV_ILN_2403 GBV_ILN_2403 ISIL_DE-LFER AR 8 2020 1 1792153 1-12 26 01 0206 4120613429 x1z 25-04-22 2403 01 DE-LFER 4132980499 00 --%%-- --%%-- n --%%-- l01 12-05-22 2403 01 DE-LFER https://doi.org/10.1080/23322039.2020.1792153 2403 01 DE-LFER https://www.tandfonline.com/doi/pdf/10.1080/23322039.2020.1792153
allfieldsGer	10.1080/23322039.2020.1792153 doi 10419/269943 hdl (DE-627)1800113234 (DE-599)KXP1800113234 DE-627 ger DE-627 rda eng Sekati, Boitumelo Nnoi Yolanda verfasserin (DE-588)1259944646 (DE-627)1807096467 aut Modelling the oil price volatility and macroeconomic variables in South Africa using the symmetric and asymmetric GARCH models Boitumelo Nnoi Yolanda Sekati, Johannes Tshepiso Tsoku and Lebotsa Daniel Metsileng 2020 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier DE-206 Open Access Controlled Vocabulary for Access Rights http://purl.org/coar/access_right/c_abf2 This article employed the ARCH, GARCH and EGARCH models to model the oil price volatility and macroeconomic variables in South Africa for the period 1990Q1 to 2018Q2. The macroeconomic variables used in the study are GDP, inflation, interest rate and exchange rates. According to ARCH (1) and GARCH (1, 1) models, exchange rate and interest rate have a negative effect on the oil price, while GDP and inflation suggesting a positive effect. The results for GDP and inflation imply that a 1% increase in GDP and inflation may lead to an increase in oil price. The negative effect on interest rate and exchange rate led by their negative values implies that a 1% increase in interest rate and exchange rate may lead to a decrease in oil price. The EGARCH (1, 1) model revealed that oil price is negatively affected by all the macroeconomic variables. This implies that a 1% increase in these variables may lead to a decrease in oil price. The symmetric and asymmetric techniques revealed that the South African oil prices are volatile. The article recommends that South African policy makers should have a view on the impact of oil price volatility on the South African economy. DE-206 Namensnennung 4.0 International CC BY 4.0 cc https://creativecommons.org/licenses/by/4.0/ ARCH model (dpeaa)DE-206 EGARCH model (dpeaa)DE-206 GARCH model (dpeaa)DE-206 macroeconomic variables (dpeaa)DE-206 oil price (dpeaa)DE-206 Tsoku, Johannes Tshepiso verfasserin (DE-588)1174335165 (DE-627)104388811X (DE-576)515843806 aut Metsileng, Lebotsa Daniel verfasserin aut Enthalten in Cogent economics & finance Abingdon : Taylor & Francis, 2014 8(2020), 1, Artikel-ID 1792153, Seite 1-12 Online-Ressource (DE-627)786946385 (DE-600)2773198-4 (DE-576)407862285 2332-2039 nnns volume:8 year:2020 number:1 elocationid:1792153 pages:1-12 https://www.tandfonline.com/doi/pdf/10.1080/23322039.2020.1792153 Verlag kostenfrei https://doi.org/10.1080/23322039.2020.1792153 Resolving-System kostenfrei https://www.tandfonline.com/doi/epub/10.1080/23322039.2020.1792153 Verlag kostenfrei https://hdl.handle.net/10419/269943 Resolving-System kostenfrei GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2009 GBV_ILN_2014 GBV_ILN_2034 GBV_ILN_2055 GBV_ILN_2108 GBV_ILN_2111 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 GBV_ILN_2403 GBV_ILN_2403 ISIL_DE-LFER AR 8 2020 1 1792153 1-12 26 01 0206 4120613429 x1z 25-04-22 2403 01 DE-LFER 4132980499 00 --%%-- --%%-- n --%%-- l01 12-05-22 2403 01 DE-LFER https://doi.org/10.1080/23322039.2020.1792153 2403 01 DE-LFER https://www.tandfonline.com/doi/pdf/10.1080/23322039.2020.1792153
allfieldsSound	10.1080/23322039.2020.1792153 doi 10419/269943 hdl (DE-627)1800113234 (DE-599)KXP1800113234 DE-627 ger DE-627 rda eng Sekati, Boitumelo Nnoi Yolanda verfasserin (DE-588)1259944646 (DE-627)1807096467 aut Modelling the oil price volatility and macroeconomic variables in South Africa using the symmetric and asymmetric GARCH models Boitumelo Nnoi Yolanda Sekati, Johannes Tshepiso Tsoku and Lebotsa Daniel Metsileng 2020 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier DE-206 Open Access Controlled Vocabulary for Access Rights http://purl.org/coar/access_right/c_abf2 This article employed the ARCH, GARCH and EGARCH models to model the oil price volatility and macroeconomic variables in South Africa for the period 1990Q1 to 2018Q2. The macroeconomic variables used in the study are GDP, inflation, interest rate and exchange rates. According to ARCH (1) and GARCH (1, 1) models, exchange rate and interest rate have a negative effect on the oil price, while GDP and inflation suggesting a positive effect. The results for GDP and inflation imply that a 1% increase in GDP and inflation may lead to an increase in oil price. The negative effect on interest rate and exchange rate led by their negative values implies that a 1% increase in interest rate and exchange rate may lead to a decrease in oil price. The EGARCH (1, 1) model revealed that oil price is negatively affected by all the macroeconomic variables. This implies that a 1% increase in these variables may lead to a decrease in oil price. The symmetric and asymmetric techniques revealed that the South African oil prices are volatile. The article recommends that South African policy makers should have a view on the impact of oil price volatility on the South African economy. DE-206 Namensnennung 4.0 International CC BY 4.0 cc https://creativecommons.org/licenses/by/4.0/ ARCH model (dpeaa)DE-206 EGARCH model (dpeaa)DE-206 GARCH model (dpeaa)DE-206 macroeconomic variables (dpeaa)DE-206 oil price (dpeaa)DE-206 Tsoku, Johannes Tshepiso verfasserin (DE-588)1174335165 (DE-627)104388811X (DE-576)515843806 aut Metsileng, Lebotsa Daniel verfasserin aut Enthalten in Cogent economics & finance Abingdon : Taylor & Francis, 2014 8(2020), 1, Artikel-ID 1792153, Seite 1-12 Online-Ressource (DE-627)786946385 (DE-600)2773198-4 (DE-576)407862285 2332-2039 nnns volume:8 year:2020 number:1 elocationid:1792153 pages:1-12 https://www.tandfonline.com/doi/pdf/10.1080/23322039.2020.1792153 Verlag kostenfrei https://doi.org/10.1080/23322039.2020.1792153 Resolving-System kostenfrei https://www.tandfonline.com/doi/epub/10.1080/23322039.2020.1792153 Verlag kostenfrei https://hdl.handle.net/10419/269943 Resolving-System kostenfrei GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2009 GBV_ILN_2014 GBV_ILN_2034 GBV_ILN_2055 GBV_ILN_2108 GBV_ILN_2111 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 GBV_ILN_2403 GBV_ILN_2403 ISIL_DE-LFER AR 8 2020 1 1792153 1-12 26 01 0206 4120613429 x1z 25-04-22 2403 01 DE-LFER 4132980499 00 --%%-- --%%-- n --%%-- l01 12-05-22 2403 01 DE-LFER https://doi.org/10.1080/23322039.2020.1792153 2403 01 DE-LFER https://www.tandfonline.com/doi/pdf/10.1080/23322039.2020.1792153
language	English
source	Enthalten in Cogent economics & finance 8(2020), 1, Artikel-ID 1792153, Seite 1-12 volume:8 year:2020 number:1 elocationid:1792153 pages:1-12
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topic_facet	ARCH model EGARCH model GARCH model macroeconomic variables oil price
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container_title	Cogent economics & finance
authorswithroles_txt_mv	Sekati, Boitumelo Nnoi Yolanda @@aut@@ Tsoku, Johannes Tshepiso @@aut@@ Metsileng, Lebotsa Daniel @@aut@@
publishDateDaySort_date	2020-01-01T00:00:00Z
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topic_title	Modelling the oil price volatility and macroeconomic variables in South Africa using the symmetric and asymmetric GARCH models Boitumelo Nnoi Yolanda Sekati, Johannes Tshepiso Tsoku and Lebotsa Daniel Metsileng ARCH model (dpeaa)DE-206 EGARCH model (dpeaa)DE-206 GARCH model (dpeaa)DE-206 macroeconomic variables (dpeaa)DE-206 oil price (dpeaa)DE-206
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title	Modelling the oil price volatility and macroeconomic variables in South Africa using the symmetric and asymmetric GARCH models
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title_full	Modelling the oil price volatility and macroeconomic variables in South Africa using the symmetric and asymmetric GARCH models Boitumelo Nnoi Yolanda Sekati, Johannes Tshepiso Tsoku and Lebotsa Daniel Metsileng
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title_sort	modelling the oil price volatility and macroeconomic variables in south africa using the symmetric and asymmetric garch models
title_auth	Modelling the oil price volatility and macroeconomic variables in South Africa using the symmetric and asymmetric GARCH models
abstract	This article employed the ARCH, GARCH and EGARCH models to model the oil price volatility and macroeconomic variables in South Africa for the period 1990Q1 to 2018Q2. The macroeconomic variables used in the study are GDP, inflation, interest rate and exchange rates. According to ARCH (1) and GARCH (1, 1) models, exchange rate and interest rate have a negative effect on the oil price, while GDP and inflation suggesting a positive effect. The results for GDP and inflation imply that a 1% increase in GDP and inflation may lead to an increase in oil price. The negative effect on interest rate and exchange rate led by their negative values implies that a 1% increase in interest rate and exchange rate may lead to a decrease in oil price. The EGARCH (1, 1) model revealed that oil price is negatively affected by all the macroeconomic variables. This implies that a 1% increase in these variables may lead to a decrease in oil price. The symmetric and asymmetric techniques revealed that the South African oil prices are volatile. The article recommends that South African policy makers should have a view on the impact of oil price volatility on the South African economy.
abstractGer	This article employed the ARCH, GARCH and EGARCH models to model the oil price volatility and macroeconomic variables in South Africa for the period 1990Q1 to 2018Q2. The macroeconomic variables used in the study are GDP, inflation, interest rate and exchange rates. According to ARCH (1) and GARCH (1, 1) models, exchange rate and interest rate have a negative effect on the oil price, while GDP and inflation suggesting a positive effect. The results for GDP and inflation imply that a 1% increase in GDP and inflation may lead to an increase in oil price. The negative effect on interest rate and exchange rate led by their negative values implies that a 1% increase in interest rate and exchange rate may lead to a decrease in oil price. The EGARCH (1, 1) model revealed that oil price is negatively affected by all the macroeconomic variables. This implies that a 1% increase in these variables may lead to a decrease in oil price. The symmetric and asymmetric techniques revealed that the South African oil prices are volatile. The article recommends that South African policy makers should have a view on the impact of oil price volatility on the South African economy.
abstract_unstemmed	This article employed the ARCH, GARCH and EGARCH models to model the oil price volatility and macroeconomic variables in South Africa for the period 1990Q1 to 2018Q2. The macroeconomic variables used in the study are GDP, inflation, interest rate and exchange rates. According to ARCH (1) and GARCH (1, 1) models, exchange rate and interest rate have a negative effect on the oil price, while GDP and inflation suggesting a positive effect. The results for GDP and inflation imply that a 1% increase in GDP and inflation may lead to an increase in oil price. The negative effect on interest rate and exchange rate led by their negative values implies that a 1% increase in interest rate and exchange rate may lead to a decrease in oil price. The EGARCH (1, 1) model revealed that oil price is negatively affected by all the macroeconomic variables. This implies that a 1% increase in these variables may lead to a decrease in oil price. The symmetric and asymmetric techniques revealed that the South African oil prices are volatile. The article recommends that South African policy makers should have a view on the impact of oil price volatility on the South African economy.
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title_short	Modelling the oil price volatility and macroeconomic variables in South Africa using the symmetric and asymmetric GARCH models
url	https://www.tandfonline.com/doi/pdf/10.1080/23322039.2020.1792153 https://doi.org/10.1080/23322039.2020.1792153 https://www.tandfonline.com/doi/epub/10.1080/23322039.2020.1792153 https://hdl.handle.net/10419/269943
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The macroeconomic variables used in the study are GDP, inflation, interest rate and exchange rates. According to ARCH (1) and GARCH (1, 1) models, exchange rate and interest rate have a negative effect on the oil price, while GDP and inflation suggesting a positive effect. The results for GDP and inflation imply that a 1% increase in GDP and inflation may lead to an increase in oil price. The negative effect on interest rate and exchange rate led by their negative values implies that a 1% increase in interest rate and exchange rate may lead to a decrease in oil price. The EGARCH (1, 1) model revealed that oil price is negatively affected by all the macroeconomic variables. This implies that a 1% increase in these variables may lead to a decrease in oil price. The symmetric and asymmetric techniques revealed that the South African oil prices are volatile. 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Modelling the oil price volatility and macroeconomic variables in South Africa using the symmetric and asymmetric GARCH models

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