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Energy Markets Volatility Modelling using GARCH

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  • Olga Efimova
  • Apostolos Serletis

    (University of Calgary)

Abstract

This paper investigates the empirical properties of oil, natural gas, and electricity price volatilities using a range of univariate and multivariate GARCH models and daily data from wholesale markets in the United States for the period from 2001 to 2013. The key contribution to the literature is the estimation of trivariate BEKK and DCC models that allow us to observe spillovers and interactions among energy markets. We evaluate and compare the performance of univariate and multivariate models with a range of diagnostic and forecast performance tests, and assess forecasting performance and conditional correlation dynamics.
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Suggested Citation

  • Olga Efimova & Apostolos Serletis, "undated". "Energy Markets Volatility Modelling using GARCH," Working Papers 2014-39, Department of Economics, University of Calgary, revised 24 Feb 2014.
  • Handle: RePEc:clg:wpaper:2014-39
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    File URL: https://econ.ucalgary.ca/sites/econ.ucalgary.ca.manageprofile/files/unitis/publications/1-4924855/Efimova_and_SerletisFeb14.pdf
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    References listed on IDEAS

    as
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    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • 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

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