English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Global: Zendy Plus annual

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Global: Zendy Tools annual

Global: Zendy Free Plan

Global: Zendy Tools monthly

Global: Zendy Plus monthly

This study investigates the dependence between extreme returns of West Texas Intermediate (WTI) crude oil prices and the Crude Oil Volatility Index (OVX) changes as well as the predictive power of OVX to generate accurate Value at Risk (VaR) forecasts for crude oil. We focus on the COVID-19 pandemic period as the most violate in the history of the oil market. The static and dynamic conditional copula methodology is used to measure the tail dependence coefficient (TDC) between the variables. We found a strong relationship in the tail dependence between negative returns on crude oil and OVX changes and the tail independence for positive returns. The time-varying copula discloses the strongest tail dependence of negative oil price shocks and the index changes during the COVID-19 health crisis. The findings indicate the ability of the OVX index to be a fear gauge with respect to the oil market. However, we cannot confirm the ability of OVX to improve one day-ahead forecasts of the Value at Risk. The impact of investors’ expectations embedded in OVX on VaR forecasts seems to be negligible.

Tail Dependence between Crude Oil Volatility Index and WTI Oil Price Movements during the COVID-19 Pandemic