Statistical Modeling of Crude Oil Price Volatility in Nigeria

Abstract

This study investigated the effects of price volatility on Nigeria crude oil price over eighteen years beginning from 1997 to 2014. Time series analysis was carried out on the data collected as extracts from the annual Bulletin of Nigerian Petroleum Corporation (NNPC). The behavior of the price of crude oil in Nigeria was examined using suitable time series model over the study period. Results from the analysis showed that the crude oil price experienced an upward movement in 2008. This indicated that the crude oil prices in Nigeria were characterized with high volatility. It can therefore be concluded that the up and down movement of the series became stable through application of time series tools.