Brent and WTI oil prices volatility during major crises and Covid-19

[Abstract] We provide novel evidence of two different types of volatility-patterns of oil spot prices that are generated depending on which is the predominant trigger: a) spikes of volatility (which are highly erratic) are produced during periods of supply/demand crises of oil disruptions (such as the 1990/91 First-Gulf-War, 2001 US-terrorist attack, the oil conflict of Saudi-Arabia with the US in 2014/16 and with Russia in 2020 -together with the Covid 19 impact-); while b) periods where economic/financial/stock market crises are the predominant trigger (such as the 1997/98 Asian and 2008/09 Global-Financial Crises and the 2017/19 oil conflicts including the 2018 stock market crisis) are associated to higher volatility persistence. Our results are very relevant since oil markets in the coming months/years are very likely to have a very high degree of uncertainty, and knowledge of the type of volatility that is generated under each of the different triggers and how it affects oil markets is very relevant for investors, speculators and policy makers.We wish to thank the Editor and the two referees for their very helpful comments. ☆☆ The first author is very grateful for the financial support from the Spanish Ministry of Science and Innovation, project PGC2018-101327-B-100 and from Xunta de Galicia, project ED431C 2020/26. Webpage: https://pdi.udc.es/es/File/Pdi/636JFThe authors declare that they have no known competing financial interests or personal relationships that could have appeared to influence the work reported in this paper. The first author is very grateful for the financial support of the Spanish “Ministerio de Ciencia e Innovación”, project PGC2018-101327-B-100 and of “Xunta de Galicia”, project ED431C 2020/26.Xunta de Galicia; ED431C 2020/2