Oil Price Volatility and Change Point Analysis

This article established the SV-MTVP (time-varying parameters of SV-M model) model to describe the crude oil price volatility. Based on Bayesian principle, this paper used of the MCMC methods to estimate the parameter of the SV-MTVP model. And then established the MS model and analyzed the change-point of crude oil price volatility which based on the estimated results of the time-varying parameters. The results showed that the SV-MTVP model can portray the volatility characteristics of crude oil spot market better compared with the common SV model, and give a good assessment of the common used models; At the same time, the time-varying parameters can be combined with MS model to analyze the incidents and their impact on the crude oil price volatility.