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Title:
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Volatility Spillovers in a Long-Memory VAR: an Application to Energy Futures Returns
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Author:
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Lovcha, Yuliya; Pérez Laborda, Àlex
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Other authors:
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Universitat Rovira i Virgili. Departament d'Economia |
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Abstract:
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In this paper, we assess volatility spillovers across energy markets
accounting for the persistence of the volatility series. To do so, we compute Diebold
and Yilmaz (2015) measures of connectedness based on the forecast-error variance
decomposition of an estimated fractionally integrated VAR (FIVAR). We use this
method to study volatility spills among oil, unleaded gasoline, heating oil, and natural
gas. Our main empirical findings are: 1) Accounting for persistence is essential to assess
the magnitude of the spillover effects in these markets; 2) The traditional VAR
magnifies the other’s contribution to the volatility variance; 3) There are substantial
spillover effects across petroleum markets, but the link between these markets and the
natural gas market appears to be broken in post 2008-crisis data.
Keywords: fractional integration, spillovers, energy commodities.
JEL Classification: G1, C5, Q4 |
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Publication date:
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2018 |
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Subject (UDC):
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33 - Economia |
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Subject(s):
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Mercats financers
Models economètrics
Energia |
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Rights:
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L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons: http://creativecommons.org/licenses/by-nc-nd/4.0/ |
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Pages:
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22 p. |
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Document type:
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Working Paper |
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Published by:
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Universitat Rovira i Virgili. Centre de Recerca en Economia Industrial i Economia Pública
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Collection:
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Documents de treball del Departament d'Economia;2018-16
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Share:
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