This paper studies how volatility affects the risk premium in crude oil futures through a discrete-time term structure … model with long-run and short-run GARCH-type volatility components. Estimated using WTI crude oil futures data from January … document a significant positive relation between volatility and futures risk premia before May 2005, but a significant negative …

Modeling and forecasting crude oil price volatility is crucial in many financial and investment applications. The main … purpose of this paper is to review and assess the current state of oil market volatility knowledge. It highlights the … properties and characteristics of the oil price volatility that models seek to capture, and discuss the different modeling …