Motivated by the increasing evidence of oil price-related transition risk from climate change, we employ the classic GARCH (1,1) and its extended variant (GARCH-X) to identify the degree of oil market volatility that is due to climate risk. We find that climate risk increases the persistence of volatility in the oil markets.
CITATION STYLE
Isah, K., Odebode, A., & Ogunjemilua, O. (2023). Does Climate Risk Amplify Oil Market Volatility? Energy Research Letters, 4(2). https://doi.org/10.46557/001c.73219
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