Oil Prices Implied Volatility or Direction : Which Matters More to Financial Markets ?

  • Brice V. Dupoyet
  • Published 2018

Abstract

We examine the impact of oil price uncertainty on U.S. stock returns by industry using the United States Oil Fund options implied volatility OVX index and a GJR-GARCH model. To do so, we test the effect of the implied volatility of oil on a wide array of domestic industries’ returns using daily data from 2007 to 2016, controlling for a variety of variables… (More)

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