the effect of crude oil futures price on risk premium volatilities in the futures market

This paper explores the impact of crude oil futures prices on risk premium volatilities in the nymex futures market. for this purpose, the arch and garch methods are used to model risk premium volatilities and explore how crude oil futures prices influence the risk premium volatilities in futures contract with a maturity of one-month, two-month and three-month over 1990-2014. in addition, it examines the impact of various maturities for futures contracts. the results indicate positive and statistically significant relationship between risk premium volatility and crude oil futures prices, and this relationship varies across the maturity length with change in maturity length. the longer the futures maturities, the higher the impact of futures crude oil prices on risk premium volatility is anticipated.