Macro determinants of volatility and volatility spillover in energy markets

The spillover effects across natural gas and oil markets: Based on the VEC–MGARCH framework

“…Existing studies usually examine price and volatility spillover separately. Using GARCH-based models, Karali and Ramirez [16], Narayan and Sharma [18] and Arouri et al [39] developed tests for volatility spillover in energy and financial markets. Other literature including Wang and Wu [40], Asche et al [41], Erd} os [2] and Neumann [36] studied price spillover using co-integration and VEC models.…”

“…Phan et al [11] GARCH Energy and financial markets Daily Chen et al [12] SARMA Real estate markets Monthly Ding et al [13] Granger test Energy market Weekly Guesmi and Fattoum [14] DCC-GJR-GARCH Energy and financial markets Monthly Jebabli et al [15] TVP-VAR Energy and financial markets Monthly Karali and Ramirez [16] MGARCH Energy markets Monthly Lin et al [17] A bunch of GARCHs Energy and financial markets Weekly Narayan and Sharma [18] GARCH Energy and financial markets Daily Pesce [19] Panel TVP-VAR Macrofinancial Yearly Reboredo [20] MCARR Carbon and energy markets Weekly Truchis and Keddad [21] Co-integration and Copula Energy market and exchange rate Daily Zhang and Wang [22] Variance Decomposition Crude oil markets Daily Bashar et al [23] Structural VAR Energy and macroeconomy Monthly Ewing and Malik [24] Bivariate GARCH Commodity and energy markets Daily Liu and Chen [25] FIEC-HYGARCH Carbon and energy markets Daily Mensi et al [26] VAR-GARCH Commodity and stock markets daily Uddin et al [27] Wavelet Analysis Energy market and exchange rate Monthly/quarterly Wu and Li [28] BEKK-MGARCH Commodity markets Weekly Narayan and Narayan [29] GARCH Financial market Daily Narayan and Sharma [30] GARCH Energy and financial markets Daily Masih et al [31] Vector error correction Energy markets Monthly 2 But the static spillover table cannot test the statistical significance. 3 It must be noted that spot or future prices of Continental Europe and Japan with enough observations are not available.…”

Understanding Dynamic Conditional Correlations between Commodities Futures Markets

“…A depreciation of the dollar would lead to a higher dollar price of the commodities (Akram, 2009), on the other side, a weaker U.S. dollar makes imports more expensive to U.S. consumers and causes a drop in imports, affecting thus domestic consumption and price (Karali and Ramirez, 2014).…”

“…Some authors examine the factors behind time varying volatilities in commodity markets, focusing on the correlations between commodities and stocks markets (Büyükşahin and Robe, 2014) or within the commodity markets (Batten et al, 2010;Alquist and Coibion, 2013;Silvennoinen and Thorp, 2013;Karali and Ramirez, 2014).…”

“…Karali and Ramirez (2014) analyze the time-varying volatility and spillover effects in energy futures markets, finding that macroeconomic variables, political and weather-related events have an effect on the volatilities and their correlations. Alquist and Coibion (2013) develop a general equilibrium macroeconomic model with commodities that yields a tractable factor structure for real commodity prices.…”