Abstract
The aim of this work is the study of crude oil price volatility, particularly during the Covid-19 pandemic, which changed the world scene and inflicted serious crises not only in the global health system, but also in the international financial markets and economy. This economic situation has many policy makers, financiers and portfolio managers worried about avoiding the risk of potential damage. Hedging strategies are based on the correct estimation of price volatility. For this aim, we use the $GARCH$ model to measure the impact of volatility and shocks. More precisely, the model used for predicting volatility associated with the price variable is the $GARCH(1,2)$ model, in through this analysis. Although the $EGARCH$ and $TGARCH$ models are better for their asymmetry property of volatility, but the $GARCH(1,2)$ model was adopted because it presents lower values of the forecasting criteria compared to the two other models. The forecast is made for the last thr\'{e}e months of 2021. The result concludes that the predicted values and the current values are very close. The oil price series that will be examined here is $WTI$ (West Texas Intermediate).
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