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What is WTI oil? 

Expected shortfall
Brent Crude
Medicine
Box–Jenkins
Stochastic volatility
Best insight from top research papers

West Texas Intermediate (WTI) is a crucial benchmark crude oil used in the global economy, particularly in the USA. It is traded extensively and plays a significant role in influencing various sectors of the economy. WTI is of similar quality to Brent Crude, another primary benchmark, and both are used for similar purposes. The volatility of WTI oil prices is affected by fundamental factors like oil production, inventories, the US dollar index, and financial indicators such as the VIX index. Risk quantification for WTI involves estimating Value-at-Risk (VaR) and Expected Shortfall (ES) using various distributions like the t-distribution and the Generalized Error Distribution (GED). Different VaR estimation methods, including GARCH models, are employed to capture the risk associated with price changes in WTI.

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Papers (5)Insight
Journal Article•DOI
The physical market and the WTI/Brent price spread
Pan Liu, Pan Liu, Reid B. Stevens, Dmitry V. Vedenov 
01 Mar 2018-Opec Energy Review
14 Citations
WTI (West Texas Intermediate) is a key crude oil benchmark, similar in quality to Brent Crude. The paper analyzes the WTI/Brent price spread dynamics, influenced mainly by US production shocks.
Journal Article•DOI
On the Volatility of Wti Crude Oil Prices: A Time-Varying Approach with Stochastic Volatility
Thai-Ha Le, Boubaker Sabri, Manh-Tien Bui, Donghyun Park 
01 Dec 2022-Social Science Research Network
5 Citations
WTI (West Texas Intermediate) crude oil is a key benchmark for oil pricing. The paper analyzes factors influencing WTI price volatility using a time-varying stochastic volatility model.
Open access
Measuring Risk for WTI Crude Oil - An application of Value-at-Risk
Alexander Eriksson, Jonathan Ljungqvist 
01 Jan 2014
1 Citations
WTI (West Texas Intermediate) crude oil is a benchmark for oil prices in the USA, crucial for global economies, with its risk quantification vital for market participants.
Open access
Measuring Risk for WTI Crude Oil: An application of Parametric Expected Shortfall
Alexander Eriksson
01 Jan 2015
2 Citations
West Texas Intermediate (WTI) is a benchmark crude oil used in trading and pricing. This study analyzes its risk using Value-at-Risk (VaR) and Expected Shortfall (ES) calculations.
Open access•Proceedings Article•DOI
Box-Jenkins Modelling and Forecasting of WTI Crude Oil Price
Maitham Rodhan, Adnan Jaaz 
01 Jan 2022
1 Citations
WTI (West Texas Intermediate) crude oil is a significant commodity with a substantial impact on global economies, making its price and volatility crucial for economic stability and growth.

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