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Volatility spillovers with spatial effects in the oil and gas market (in Russian)

Author

Listed:
  • Efrosiniya Karatetskaya

    (National Research University Higher School of Economics, Moscow, Russia)

  • Valeriya Lakshina

    (National Research University Higher School of Economics, Nizhni Novgorod, Russia)

Abstract

The article is devoted to estimation of volatility spillovers in the oil and gas market accounting for cross-sectional dependence. We use data on daily stock returns of 67 companies from the oil and gas sector from 13 countries. The volatility spillovers are estimated via a spatial specification of the BEKK model. Using the Vuong test, we compare explanatory power of the spatial BEKK and non-spatial GO-GARCH and ADCC models, the Diebold-Mariano and Hansen-Lunde-Nason tests being used for evaluating the predictive ability. The Vuong test reveals equal explanatory ability of the three models at any reasonable significance level. In the out-of-sample comparison, the tests do not provide clear evidence of significant superiority of the spatial specification over the other models.

Suggested Citation

  • Efrosiniya Karatetskaya & Valeriya Lakshina, 2019. "Volatility spillovers with spatial effects in the oil and gas market (in Russian)," Quantile, Quantile, issue 14, pages 83-95, June.
    • Handle: RePEc:qnt:quantl:y:2019:i:14:p:83-95
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    More about this item

    Keywords

    multivariate volatility models; spatial specifications; oil and gas market; volatility spillover effects;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • Q49 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Other

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