Lee, Thomas; Zyren, John - In: Atlantic Economic Journal 35 (2007) 1, pp. 97-112
This paper utilizes calculated historical volatility and GARCH models to compare the historical price volatility behavior of crude oil, motor gasoline and heating oil in U.S. markets since 1990. We incorporate a shift variable in the GARCH/TARCH models to capture the response of price volatility...