Brent crude oil prices volatility during major crises

Volatility patterns in Brent crude oil spot and futures prices are examined during four major crises that significantly affected the oil markets: the First Gulf war 1990/91; the Asian Financial crisis 1997/98; the US terrorist attack 2001; and the Global Financial crisis 2008/9. The selected crises arose due to different triggers having diverse implications for oil market participants. The outcomes reveal higher levels of volatility during crises that was directly associated with oil supply/demand disruptions and higher volatility persistence during financial/economic crises, indicating that volatility persistence is a key issue when uncertainty is derived from global economic and financial instability.