A relationship between world oil prices and Philippine mining and oil sector index: A comparative study of multivariate GARCH approaches

This research assesses the price movements of world oil prices and Philippine mining and oil sector covering the period from 2017 to July 2022 and comprehended their implications for the oil and mining industries in the Philippines. The Dickey Fuller, McLeod-Li, and Ljung box tests were used in orde...

Full description

Saved in:
Bibliographic Details
Main Authors: Chan, Errol Stephen Santos, Hou, Justin Matthew Carrasco, Ong, Mychael John Llamado, Tan, Marcus Adrian Garyth Ejercito
Format: text
Language:English
Published: Animo Repository 2022
Subjects:
Online Access:https://animorepository.dlsu.edu.ph/etdb_finman/45
https://animorepository.dlsu.edu.ph/context/etdb_finman/article/1052/viewcontent/A_Relationship_between_World_Oil_Prices_and_Philippine_Mining_and_Redacted2.pdf
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: De La Salle University
Language: English
id oai:animorepository.dlsu.edu.ph:etdb_finman-1052
record_format eprints
spelling oai:animorepository.dlsu.edu.ph:etdb_finman-10522023-01-03T00:29:48Z A relationship between world oil prices and Philippine mining and oil sector index: A comparative study of multivariate GARCH approaches Chan, Errol Stephen Santos Hou, Justin Matthew Carrasco Ong, Mychael John Llamado Tan, Marcus Adrian Garyth Ejercito This research assesses the price movements of world oil prices and Philippine mining and oil sector covering the period from 2017 to July 2022 and comprehended their implications for the oil and mining industries in the Philippines. The Dickey Fuller, McLeod-Li, and Ljung box tests were used in order to ensure that the data used are significant to the study, and the models used to support this study consists of BEKK-GARCH, DCC-GARCH, and cDCC-GARCH. The results show that the world oil prices are strongly associated with the Philippine Mining and Oil Sector Index (PMINI) as Johansen's test specifically revealed that the returns on PMINI exhibit a strong correlation with the returns on the WTI, BRENT, and OPEC prices over the long run. The BEKK-GARCH is found to have inadequate fit based on the Ljung-Box, McLeod-Li, and ARCH tests while the variables resulted in a dynamic relationship with the DCC and cDCC GARCH. Conclusively, the cDCC-GARCH model is found to provide the best fit, based on the three tests. The findings of the study show the dynamic correlation between the PMINI and the aforementioned oil benchmarks notably in times of a crisis and this analysis may serve as a guide for future researchers, policymakers, and institutions to structure contingency and detection systems to prepare for such crises again in the future. 2022-12-19T08:00:00Z text application/pdf https://animorepository.dlsu.edu.ph/etdb_finman/45 https://animorepository.dlsu.edu.ph/context/etdb_finman/article/1052/viewcontent/A_Relationship_between_World_Oil_Prices_and_Philippine_Mining_and_Redacted2.pdf Financial Management Bachelor's Theses English Animo Repository Petroleum products—Prices Petroleum products—Prices—Philippines Finance and Financial Management Other Business
institution De La Salle University
building De La Salle University Library
continent Asia
country Philippines
Philippines
content_provider De La Salle University Library
collection DLSU Institutional Repository
language English
topic Petroleum products—Prices
Petroleum products—Prices—Philippines
Finance and Financial Management
Other Business
spellingShingle Petroleum products—Prices
Petroleum products—Prices—Philippines
Finance and Financial Management
Other Business
Chan, Errol Stephen Santos
Hou, Justin Matthew Carrasco
Ong, Mychael John Llamado
Tan, Marcus Adrian Garyth Ejercito
A relationship between world oil prices and Philippine mining and oil sector index: A comparative study of multivariate GARCH approaches
description This research assesses the price movements of world oil prices and Philippine mining and oil sector covering the period from 2017 to July 2022 and comprehended their implications for the oil and mining industries in the Philippines. The Dickey Fuller, McLeod-Li, and Ljung box tests were used in order to ensure that the data used are significant to the study, and the models used to support this study consists of BEKK-GARCH, DCC-GARCH, and cDCC-GARCH. The results show that the world oil prices are strongly associated with the Philippine Mining and Oil Sector Index (PMINI) as Johansen's test specifically revealed that the returns on PMINI exhibit a strong correlation with the returns on the WTI, BRENT, and OPEC prices over the long run. The BEKK-GARCH is found to have inadequate fit based on the Ljung-Box, McLeod-Li, and ARCH tests while the variables resulted in a dynamic relationship with the DCC and cDCC GARCH. Conclusively, the cDCC-GARCH model is found to provide the best fit, based on the three tests. The findings of the study show the dynamic correlation between the PMINI and the aforementioned oil benchmarks notably in times of a crisis and this analysis may serve as a guide for future researchers, policymakers, and institutions to structure contingency and detection systems to prepare for such crises again in the future.
format text
author Chan, Errol Stephen Santos
Hou, Justin Matthew Carrasco
Ong, Mychael John Llamado
Tan, Marcus Adrian Garyth Ejercito
author_facet Chan, Errol Stephen Santos
Hou, Justin Matthew Carrasco
Ong, Mychael John Llamado
Tan, Marcus Adrian Garyth Ejercito
author_sort Chan, Errol Stephen Santos
title A relationship between world oil prices and Philippine mining and oil sector index: A comparative study of multivariate GARCH approaches
title_short A relationship between world oil prices and Philippine mining and oil sector index: A comparative study of multivariate GARCH approaches
title_full A relationship between world oil prices and Philippine mining and oil sector index: A comparative study of multivariate GARCH approaches
title_fullStr A relationship between world oil prices and Philippine mining and oil sector index: A comparative study of multivariate GARCH approaches
title_full_unstemmed A relationship between world oil prices and Philippine mining and oil sector index: A comparative study of multivariate GARCH approaches
title_sort relationship between world oil prices and philippine mining and oil sector index: a comparative study of multivariate garch approaches
publisher Animo Repository
publishDate 2022
url https://animorepository.dlsu.edu.ph/etdb_finman/45
https://animorepository.dlsu.edu.ph/context/etdb_finman/article/1052/viewcontent/A_Relationship_between_World_Oil_Prices_and_Philippine_Mining_and_Redacted2.pdf
_version_ 1767196817500405760