TY - JOUR ID - 58052 TI - The effect of crude oil futures price on risk premium volatilities in the futures market JO - Petroleum Business Review JA - PBR LA - en SN - 2645-4726 AU - Mousavi, Mirhossein AU - Mazraati, Mohammad AD - associate professor, economics department, alzahra university AD - OFID, Vienna Y1 - 2017 PY - 2017 VL - 1 IS - 1 SP - 3 EP - 8 KW - crude oil futures prices KW - Risk premium volatility KW - NYMEX futures market KW - ARCH and GARCH volatility modeling JEL classification: C32 KW - Q74 KW - G32 KW - G13 DO - N2 - This paper explores the impact of crude oil futures prices on risk premium volatilities in the NYMEX futures market. For this purpose, the ARCH and GARCH methods are used to model risk premium volatilities and explore how crude oil futures prices influence the risk premium volatilities in futures contract with a maturity of one-month, two-month and three-month over 1990-2014. In addition, it examines the impact of various maturities for futures contracts. The results indicate positive and statistically significant relationship between risk premium volatility and crude oil futures prices, and this relationship varies across the maturity length with change in maturity length. The longer the futures maturities, the higher the impact of futures crude oil prices on risk premium volatility is anticipated. UR - https://pbr.put.ac.ir/article_58052.html L1 - https://pbr.put.ac.ir/article_58052_032bb947d9e7e0fcb202f067842a72df.pdf ER -