Macro determinants of volatility and volatility spillover in energy markets
We analyze the time-varying volatility and spillover effects in crude oil, heating oil, and natural gas futures markets by incorporating changes in important macroeconomic variables and major political and weather-related events into the conditional variance equations. We allow asymmetric responses...
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| Veröffentlicht in: | Energy economics 2014-11, Vol.46, p.413-421 |
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| creator | Karali, Berna Ramirez, Octavio A. |
| description | We analyze the time-varying volatility and spillover effects in crude oil, heating oil, and natural gas futures markets by incorporating changes in important macroeconomic variables and major political and weather-related events into the conditional variance equations. We allow asymmetric responses to random disturbances in each market as well as to good and bad economic news related to the overall economy. Results show the presence of asymmetric effects in both random disturbances and macroeconomic variables. A bidirectional volatility spillover effect is found between natural gas and crude oil and between the natural gas and heating oil markets. Crude oil volatility is found to increase following major political, financial, and natural events. Seasonality and day-of-the-week effects are found in the crude oil and heating oil markets.
•Asymmetric, time-varying volatility and spillover effects in energy markets are investigated.•Macroeconomic variables and major political, financial, and weather-related events are incorporated.•Volatility spillover is found between natural gas and crude oil and between the natural gas and heating oil markets.•Crude oil volatility is found to increase following the major events considered. |
| doi_str_mv | 10.1016/j.eneco.2014.06.004 |
| format | Article |
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•Asymmetric, time-varying volatility and spillover effects in energy markets are investigated.•Macroeconomic variables and major political, financial, and weather-related events are incorporated.•Volatility spillover is found between natural gas and crude oil and between the natural gas and heating oil markets.•Crude oil volatility is found to increase following the major events considered.</description><identifier>ISSN: 0140-9883</identifier><identifier>EISSN: 1873-6181</identifier><identifier>DOI: 10.1016/j.eneco.2014.06.004</identifier><identifier>CODEN: EECODR</identifier><language>eng</language><publisher>Amsterdam: Elsevier B.V</publisher><subject>Applied sciences ; Asymmetric shocks ; Asymmetry ; Crude oil ; Economic data ; Economics ; Energy ; Energy economics ; Energy industry ; Energy market ; Energy markets ; Energy resources ; Exact sciences and technology ; Fossil fuels and derived products ; Futures ; Futures market ; GARCH ; GARCH models ; Gas ; General, economic and professional studies ; Heating ; Macroeconomics ; Markets ; Mathematical analysis ; Methodology. Modelling ; Natural gas ; News ; Oil ; Oil market ; Petroleum industry ; Spillover effects ; Spillovers ; Studies ; Volatility</subject><ispartof>Energy economics, 2014-11, Vol.46, p.413-421</ispartof><rights>2014 Elsevier B.V.</rights><rights>2015 INIST-CNRS</rights><rights>Copyright Elsevier Science Ltd. Nov 2014</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c590t-f3542ee744a7665a77c52e3ecd411f747dded865ea1c8c97cea41c215532a0e13</citedby><cites>FETCH-LOGICAL-c590t-f3542ee744a7665a77c52e3ecd411f747dded865ea1c8c97cea41c215532a0e13</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktohtml>$$Uhttps://www.sciencedirect.com/science/article/pii/S0140988314001376$$EHTML$$P50$$Gelsevier$$H</linktohtml><link.rule.ids>314,776,780,3537,27842,27843,27901,27902,65306</link.rule.ids><backlink>$$Uhttp://pascal-francis.inist.fr/vibad/index.php?action=getRecordDetail&idt=29026411$$DView record in Pascal Francis$$Hfree_for_read</backlink></links><search><creatorcontrib>Karali, Berna</creatorcontrib><creatorcontrib>Ramirez, Octavio A.</creatorcontrib><title>Macro determinants of volatility and volatility spillover in energy markets</title><title>Energy economics</title><description>We analyze the time-varying volatility and spillover effects in crude oil, heating oil, and natural gas futures markets by incorporating changes in important macroeconomic variables and major political and weather-related events into the conditional variance equations. We allow asymmetric responses to random disturbances in each market as well as to good and bad economic news related to the overall economy. Results show the presence of asymmetric effects in both random disturbances and macroeconomic variables. A bidirectional volatility spillover effect is found between natural gas and crude oil and between the natural gas and heating oil markets. Crude oil volatility is found to increase following major political, financial, and natural events. Seasonality and day-of-the-week effects are found in the crude oil and heating oil markets.
•Asymmetric, time-varying volatility and spillover effects in energy markets are investigated.•Macroeconomic variables and major political, financial, and weather-related events are incorporated.•Volatility spillover is found between natural gas and crude oil and between the natural gas and heating oil markets.•Crude oil volatility is found to increase following the major events considered.</description><subject>Applied sciences</subject><subject>Asymmetric shocks</subject><subject>Asymmetry</subject><subject>Crude oil</subject><subject>Economic data</subject><subject>Economics</subject><subject>Energy</subject><subject>Energy economics</subject><subject>Energy industry</subject><subject>Energy market</subject><subject>Energy markets</subject><subject>Energy resources</subject><subject>Exact sciences and technology</subject><subject>Fossil fuels and derived products</subject><subject>Futures</subject><subject>Futures market</subject><subject>GARCH</subject><subject>GARCH models</subject><subject>Gas</subject><subject>General, economic and professional studies</subject><subject>Heating</subject><subject>Macroeconomics</subject><subject>Markets</subject><subject>Mathematical analysis</subject><subject>Methodology. Modelling</subject><subject>Natural gas</subject><subject>News</subject><subject>Oil</subject><subject>Oil market</subject><subject>Petroleum industry</subject><subject>Spillover effects</subject><subject>Spillovers</subject><subject>Studies</subject><subject>Volatility</subject><issn>0140-9883</issn><issn>1873-6181</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2014</creationdate><recordtype>article</recordtype><sourceid>7TQ</sourceid><recordid>eNqNkUtrGzEQgEVpoG7SX9DLQin0spvRW3vIoYS8SEIu7VkI7WyRu5ZcaW3wv48chxB6aHMahvnmwXyEfKbQUaDqdNlhRJ86BlR0oDoA8Y4sqNG8VdTQ92RRC9D2xvAP5GMpSwCQSpoFub13PqdmwBnzKkQX59Kksdmmyc1hCvOucXF4nZZ1mKa0xdyE2NSt-deuWbn8G-dyQo5GNxX89ByPyc_Lix_n1-3dw9XN-fe71sse5nbkUjBELYTTSkmntZcMOfpBUDpqoYcBB6MkOuqN77VHJ6hnVErOHCDlx-TbYe46pz8bLLNdheJxmlzEtCmWamGM7BnT_0eVlFozo8RbUMoNcHjDAUoY0IzTPfrlL3SZNjnW91SK9dwYUKxS_EBVF6VkHO06h_rVnaVg94bt0j4ZtnvDFpSthmvX1-fZrng3jdlFH8pLK-uBKfF0w9mBwyplGzDb4gNGj0PI6Gc7pPDPPY9bNLsW</recordid><startdate>20141101</startdate><enddate>20141101</enddate><creator>Karali, Berna</creator><creator>Ramirez, Octavio A.</creator><general>Elsevier B.V</general><general>Elsevier</general><general>Elsevier Science Ltd</general><scope>IQODW</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>7ST</scope><scope>7TA</scope><scope>7TQ</scope><scope>8BJ</scope><scope>8FD</scope><scope>C1K</scope><scope>DHY</scope><scope>DON</scope><scope>FQK</scope><scope>JBE</scope><scope>JG9</scope><scope>SOI</scope><scope>7SU</scope><scope>FR3</scope></search><sort><creationdate>20141101</creationdate><title>Macro determinants of volatility and volatility spillover in energy markets</title><author>Karali, Berna ; Ramirez, Octavio A.</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c590t-f3542ee744a7665a77c52e3ecd411f747dded865ea1c8c97cea41c215532a0e13</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2014</creationdate><topic>Applied sciences</topic><topic>Asymmetric shocks</topic><topic>Asymmetry</topic><topic>Crude oil</topic><topic>Economic data</topic><topic>Economics</topic><topic>Energy</topic><topic>Energy economics</topic><topic>Energy industry</topic><topic>Energy market</topic><topic>Energy markets</topic><topic>Energy resources</topic><topic>Exact sciences and technology</topic><topic>Fossil fuels and derived products</topic><topic>Futures</topic><topic>Futures market</topic><topic>GARCH</topic><topic>GARCH models</topic><topic>Gas</topic><topic>General, economic and professional studies</topic><topic>Heating</topic><topic>Macroeconomics</topic><topic>Markets</topic><topic>Mathematical analysis</topic><topic>Methodology. Modelling</topic><topic>Natural gas</topic><topic>News</topic><topic>Oil</topic><topic>Oil market</topic><topic>Petroleum industry</topic><topic>Spillover effects</topic><topic>Spillovers</topic><topic>Studies</topic><topic>Volatility</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Karali, Berna</creatorcontrib><creatorcontrib>Ramirez, Octavio A.</creatorcontrib><collection>Pascal-Francis</collection><collection>CrossRef</collection><collection>Environment Abstracts</collection><collection>Materials Business File</collection><collection>PAIS Index</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>Technology Research Database</collection><collection>Environmental Sciences and Pollution Management</collection><collection>PAIS International</collection><collection>PAIS International (Ovid)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><collection>Materials Research Database</collection><collection>Environment Abstracts</collection><collection>Environmental Engineering Abstracts</collection><collection>Engineering Research Database</collection><jtitle>Energy economics</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Karali, Berna</au><au>Ramirez, Octavio A.</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Macro determinants of volatility and volatility spillover in energy markets</atitle><jtitle>Energy economics</jtitle><date>2014-11-01</date><risdate>2014</risdate><volume>46</volume><spage>413</spage><epage>421</epage><pages>413-421</pages><issn>0140-9883</issn><eissn>1873-6181</eissn><coden>EECODR</coden><abstract>We analyze the time-varying volatility and spillover effects in crude oil, heating oil, and natural gas futures markets by incorporating changes in important macroeconomic variables and major political and weather-related events into the conditional variance equations. We allow asymmetric responses to random disturbances in each market as well as to good and bad economic news related to the overall economy. Results show the presence of asymmetric effects in both random disturbances and macroeconomic variables. A bidirectional volatility spillover effect is found between natural gas and crude oil and between the natural gas and heating oil markets. Crude oil volatility is found to increase following major political, financial, and natural events. Seasonality and day-of-the-week effects are found in the crude oil and heating oil markets.
•Asymmetric, time-varying volatility and spillover effects in energy markets are investigated.•Macroeconomic variables and major political, financial, and weather-related events are incorporated.•Volatility spillover is found between natural gas and crude oil and between the natural gas and heating oil markets.•Crude oil volatility is found to increase following the major events considered.</abstract><cop>Amsterdam</cop><pub>Elsevier B.V</pub><doi>10.1016/j.eneco.2014.06.004</doi><tpages>9</tpages></addata></record> |
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| identifier | ISSN: 0140-9883 |
| ispartof | Energy economics, 2014-11, Vol.46, p.413-421 |
| issn | 0140-9883 1873-6181 |
| language | eng |
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| source | PAIS Index; Elsevier ScienceDirect Journals |
| subjects | Applied sciences Asymmetric shocks Asymmetry Crude oil Economic data Economics Energy Energy economics Energy industry Energy market Energy markets Energy resources Exact sciences and technology Fossil fuels and derived products Futures Futures market GARCH GARCH models Gas General, economic and professional studies Heating Macroeconomics Markets Mathematical analysis Methodology. Modelling Natural gas News Oil Oil market Petroleum industry Spillover effects Spillovers Studies Volatility |
| title | Macro determinants of volatility and volatility spillover in energy markets |
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