Analyzing fossil fuel commodities' return spillovers during the Russia and Ukraine crisis in the energy market

During the Russia and Ukraine crises, the energy market, including fossil fuel commodities, experienced significant global shocks. This research paper investigates the phenomenon of return spillover across the energy market amid the Russia and Ukraine conflict, utilizing the Diebold and Yilmaz Spillover Framework and EGRACH Model. The study examines daily frequency data from 24 February 2022 to 30 June 2023, focusing on the interconnectedness between various energy commodities: Brent Oil, Carbon Emissions, Crude Oil WTI, Gasoline, Heating Oil, and Natural Gas. The result of the study reports a total spillover index of 36%, indicating a significant spillover during the Russia and Ukraine conflict. Furthermore, the highest dynamic gross directional return spillovers have been reported in Brent Oil compared to the others. However, carbon emissions and natural gas have the lowest spillovers. The study significantly contributes to a deeper understanding of energy commodities by confirming the volatility persistence across the energy market based on the E-GARCH model. •Russia-Ukraine crisis triggers global energy market shocks.•Spillover analysis reveals interconnectedness in energy prices.•Brent Oil leads return spillovers across energy commodities.•Carbon & Gas markets show minimal spillover effects.•E-GARCH model confirms persistent volatility in energy sector.