Estimation results of conditional quantile regression for the energy futures over the period from April 01, 2013 to June 30, 2017
| Independent variable | Energy futures | t-statistic | Prob. |
|---|---|---|---|
| OPEC news | BRENT_OIL_FUTURES | −3.208769* | 0.0014 |
| CRUDE_OIL_WTI_FUTURES | −3.478114* | 0.0000 | |
| GASOLINE_RBOB_FUTURES | −2.248421** | 0.0248 | |
| HEATING_OIL_FUTURES | −5.216409* | 0.0000 | |
| LONDON_GAS_OIL_FUTURES | −3.332541* | 0.0000 | |
| NATURAL_GAS_FUTURES | −3.002135* | 0.0000 |
| Independent variable | Energy futures | Prob. | |
|---|---|---|---|
| OPEC news | BRENT_OIL_FUTURES | −3.208769 | 0.0014 |
| CRUDE_OIL_WTI_FUTURES | −3.478114 | 0.0000 | |
| GASOLINE_RBOB_FUTURES | −2.248421** | 0.0248 | |
| HEATING_OIL_FUTURES | −5.216409 | 0.0000 | |
| LONDON_GAS_OIL_FUTURES | −3.332541 | 0.0000 | |
| NATURAL_GAS_FUTURES | −3.002135 | 0.0000 |
Notes:
This table reports estimated coefficients from conditional quantile regression. To empirically test this model, we use daily return series of six energy futures (crude oil WTI, gasoline RBOB, Brent oil, London gas oil, natural gas and heating oil) and the OPEC news over the period of study from July 22, 2010 to June 30, 2017. Statistical significance at the 1 and 5% levels is denoted by
and
, respectively.