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...

Full description

Saved in:
Bibliographic Details
Published in:Energy economics 2014-11, Vol.46, p.413-421
Main Authors: Karali, Berna, Ramirez, Octavio A.
Format: Article
Language:English
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
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary: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.
ISSN:0140-9883
1873-6181
DOI:10.1016/j.eneco.2014.06.004