Conditional Probability of Jumps in Oil Prices

The objective of this research is to model the behavior oil returns. volatility returns described through a TGARCH process. Conditional probability jumps are incorporated uniform, double exponential and normal jump intensity distributions. We found that follows stylized facts leptokurtosis, leverage effect clustering. abnormal information causes jumps, can cause another type unexpected changes in following period has negative on next period. dynamic proposed be extended other markets multivariate time series modeling considering dependence among markets’ main contribution work estimation conditional depending previous leading better description stochastic dynamics crude prices. This will useful for making decisions regarding as an underlying asset derivatives or formulation public policies.