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Volatility spillover across energy indices of the stock markets

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  • Marius Acatrinei

Abstract

The paper will use a MSGARCH model to analyze how are transmitted the sudden changes in volatility transmission from the energy market across several energy indices including Romania. In addition to the GARCH models, the class of Markov-switching GARCH (MSGARCH) may provide an early warning indication of changes in the conditional volatility. We use daily closing data spanning a ten year period in order to capture the dependencies and sensitivities of energy related equity sector.

Suggested Citation

  • Marius Acatrinei, 2015. "Volatility spillover across energy indices of the stock markets," Romanian Statistical Review, Romanian Statistical Review, vol. 63(2), pages 5-13, June.
  • Handle: RePEc:rsr:journl:v:63:y:2015:i:2:p:5-13
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    References listed on IDEAS

    as
    1. Dueker, Michael J, 1997. "Markov Switching in GARCH Processes and Mean-Reverting Stock-Market Volatility," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(1), pages 26-34, January.
    2. Kim, Chang-Jin, 1994. "Dynamic linear models with Markov-switching," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 1-22.
    3. Cai, Jun, 1994. "A Markov Model of Switching-Regime ARCH," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(3), pages 309-316, July.
    4. Hamilton, James D. & Susmel, Raul, 1994. "Autoregressive conditional heteroskedasticity and changes in regime," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 307-333.
    5. Sebastian Edwards & Raul Susmel, 2003. "Interest-Rate Volatility in Emerging Markets," The Review of Economics and Statistics, MIT Press, vol. 85(2), pages 328-348, May.
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