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Forecasting energy market volatility using GARCH models: Can multivariate models beat univariate models?

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  1. Jean-Michel Sahut & Petr Hajek & Vladimir Olej & Lubica Hikkerova, 2025. "The role of news-based sentiment in forecasting crude oil price during the Covid-19 pandemic," Annals of Operations Research, Springer, vol. 345(2), pages 861-884, February.
  2. Martínez, Beatriz & Torró, Hipòlit, 2018. "Hedging spark spread risk with futures," Energy Policy, Elsevier, vol. 113(C), pages 731-746.
  3. Yue-Jun Zhang & Han Zhang, 2023. "Volatility Forecasting of Crude Oil Market: Which Structural Change Based GARCH Models have Better Performance?," The Energy Journal, , vol. 44(1), pages 175-194, January.
  4. Wang, Nianling & Wang, Qianchao & Li, Yong, 2025. "Estimation and forecast of carbon emission market volatility based on model averaging method," Economic Modelling, Elsevier, vol. 143(C).
  5. Mehmet Balcilar & Elie Bouri & Rangan Gupta & Christian Pierdzioch, 2021. "El Niño, La Niña, and the Forecastability of the Realized Variance of Heating Oil Price Movements," Sustainability, MDPI, vol. 13(14), pages 1-23, July.
  6. Charlot, Philippe & Marimoutou, Vêlayoudom, 2014. "On the relationship between the prices of oil and the precious metals: Revisiting with a multivariate regime-switching decision tree," Energy Economics, Elsevier, vol. 44(C), pages 456-467.
  7. Feriel Gharbi, 2019. "Time-varying volatility spillovers among bitcoin and commodity currencies," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 8(4), pages 1-2.
  8. Onder Buberkoku, 2018. "Examining the Value-at-risk Performance of Fractionally Integrated GARCH Models: Evidence from Energy Commodities," International Journal of Economics and Financial Issues, Econjournals, vol. 8(3), pages 36-50.
  9. Wang, Yudong & Hao, Xianfeng, 2022. "Forecasting the real prices of crude oil: A robust weighted least squares approach," Energy Economics, Elsevier, vol. 116(C).
  10. Li, Gang & Li, Yong, 2015. "Forecasting copper futures volatility under model uncertainty," Resources Policy, Elsevier, vol. 46(P2), pages 167-176.
  11. Zhang, Yue-Jun & Yao, Ting & He, Ling-Yun & Ripple, Ronald, 2019. "Volatility forecasting of crude oil market: Can the regime switching GARCH model beat the single-regime GARCH models?," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 302-317.
  12. Wang, Yudong & Wu, Chongfeng & Yang, Li, 2016. "Forecasting crude oil market volatility: A Markov switching multifractal volatility approach," International Journal of Forecasting, Elsevier, vol. 32(1), pages 1-9.
  13. Zavadska, Miroslava & Morales, Lucía & Coughlan, Joseph, 2020. "Brent crude oil prices volatility during major crises," Finance Research Letters, Elsevier, vol. 32(C).
  14. Ioannidis, Filippos & Kosmidou, Kyriaki & Savva, Christos & Theodossiou, Panayiotis, 2021. "Electricity pricing using a periodic GARCH model with conditional skewness and kurtosis components," Energy Economics, Elsevier, vol. 95(C).
  15. Lv, Wendai, 2018. "Does the OVX matter for volatility forecasting? Evidence from the crude oil market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 492(C), pages 916-922.
  16. Yusui Tang & Feng Ma & Yaojie Zhang & Yu Wei, 2022. "Forecasting the oil price realized volatility: A multivariate heterogeneous autoregressive model," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 4770-4783, October.
  17. Kambouroudis, Dimos S. & McMillan, David G., 2015. "Is there an ideal in-sample length for forecasting volatility?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 37(C), pages 114-137.
  18. Babaei Balderlou, Saharnaz & Ebrahimi Torki, Mahyar & Heidari, Hassan, 2013. "تفكيك اثرات منشأ شوك‌هاي نفتي بر همبستگی پویای بین رشد بخش صنعت و معدن و قیمت نفت خام در ایران [Separation of the Effects of Oil Price Shocks Origin on Dynamic Correlation between Growth of Industr," MPRA Paper 79257, University Library of Munich, Germany.
  19. Hyeon-Seok Kim & Hui-Sang Kim & Sun-Yong Choi, 2024. "Investigating the Impact of Agricultural, Financial, Economic, and Political Factors on Oil Forward Prices and Volatility: A SHAP Analysis," Energies, MDPI, vol. 17(5), pages 1-24, February.
  20. Erdogdu, Erkan, 2016. "Asymmetric volatility in European day-ahead power markets: A comparative microeconomic analysis," Energy Economics, Elsevier, vol. 56(C), pages 398-409.
  21. Liu, Li & Chen, Ching-Cheng & Wan, Jieqiu, 2013. "Is world oil market “one great pool”?: An example from China's and international oil markets," Economic Modelling, Elsevier, vol. 35(C), pages 364-373.
  22. Karasu, Seçkin & Altan, Aytaç, 2022. "Crude oil time series prediction model based on LSTM network with chaotic Henry gas solubility optimization," Energy, Elsevier, vol. 242(C).
  23. Huabin Bian & Renhai Hua & Qingfu Liu & Ping Zhang, 2022. "Petroleum market volatility tracker in China," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(11), pages 2022-2040, November.
  24. Wang, Lu & Ma, Feng & Liu, Jing & Yang, Lin, 2020. "Forecasting stock price volatility: New evidence from the GARCH-MIDAS model," International Journal of Forecasting, Elsevier, vol. 36(2), pages 684-694.
  25. Jihed Majdoub & Salim Ben Sassi & Azza Bejaoui, 2021. "Can fiat currencies really hedge Bitcoin? Evidence from dynamic short-term perspective," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 789-816, December.
  26. Wang, Yudong & Liu, Li & Ma, Feng & Wu, Chongfeng, 2016. "What the investors need to know about forecasting oil futures return volatility," Energy Economics, Elsevier, vol. 57(C), pages 128-139.
  27. Klein, Tony, 2018. "Trends and Contagion in WTI and Brent Crude Oil Spot and Futures Markets - The Role of OPEC in the last Decade," QBS Working Paper Series 2018/05, Queen's University Belfast, Queen's Business School.
  28. Yue-Jun Zhang & Ting Yao & Ling-Yun He, 2015. "Forecasting crude oil market volatility: can the Regime Switching GARCH model beat the single-regime GARCH models?," Papers 1512.01676, arXiv.org.
  29. Geng, Qianjie & Wang, Yudong, 2024. "Forecasting the volatility of crude oil basis: Univariate models versus multivariate models," Energy, Elsevier, vol. 295(C).
  30. Wang, Yiwei & Wang, Ke & Chang, Chun-Ping, 2019. "The impacts of economic sanctions on exchange rate volatility," Economic Modelling, Elsevier, vol. 82(C), pages 58-65.
  31. Lyócsa, Štefan & Molnár, Peter, 2018. "Exploiting dependence: Day-ahead volatility forecasting for crude oil and natural gas exchange-traded funds," Energy, Elsevier, vol. 155(C), pages 462-473.
  32. Liu, Li & Wang, Yudong, 2014. "Cross-correlations between spot and futures markets of nonferrous metals," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 400(C), pages 20-30.
  33. Baruník, Jozef & Malinská, Barbora, 2016. "Forecasting the term structure of crude oil futures prices with neural networks," Applied Energy, Elsevier, vol. 164(C), pages 366-379.
  34. Chen, Chuanglian & Zhou, Lichao & Sun, Chuanwang & Lin, Yuting, 2024. "Does oil future increase the network systemic risk of financial institutions in China?," Applied Energy, Elsevier, vol. 364(C).
  35. Katja Ignatieva & Natalia Ponomareva, 2017. "Commodity currencies and commodity prices: modelling static and time-varying dependence," Applied Economics, Taylor & Francis Journals, vol. 49(15), pages 1491-1512, March.
  36. Bai, Xiwen & Kavussanos, Manolis G., 2022. "Hedging IMO2020 compliant fuel price exposure using futures contracts," Energy Economics, Elsevier, vol. 110(C).
  37. Mollick, André Varella & Assefa, Tibebe Abebe, 2013. "U.S. stock returns and oil prices: The tale from daily data and the 2008–2009 financial crisis," Energy Economics, Elsevier, vol. 36(C), pages 1-18.
  38. Mushtaq Hussain Khan & Junaid Ahmed & Mazhar Mughal & Imtiaz Hussain Khan, 2023. "Oil price volatility and stock returns: Evidence from three oil‐price wars," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(3), pages 3162-3182, July.
  39. Halkos, George & Tzirivis, Apostolos, 2018. "Effective energy commodities’ risk management: Econometric modeling of price volatility," MPRA Paper 90781, University Library of Munich, Germany.
  40. Guoqiang Sun & Tong Chen & Zhinong Wei & Yonghui Sun & Haixiang Zang & Sheng Chen, 2016. "A Carbon Price Forecasting Model Based on Variational Mode Decomposition and Spiking Neural Networks," Energies, MDPI, vol. 9(1), pages 1-16, January.
  41. Zhang, Yue-Jun & Zhang, Han, 2023. "Volatility forecasting of crude oil futures market: Which structural change-based HAR models have better performance?," International Review of Financial Analysis, Elsevier, vol. 85(C).
  42. Marcin Fałdziński & Piotr Fiszeder & Witold Orzeszko, 2020. "Forecasting Volatility of Energy Commodities: Comparison of GARCH Models with Support Vector Regression," Energies, MDPI, vol. 14(1), pages 1-18, December.
  43. Franco Ruzzenenti, 2015. "Changes in the relationship between the financial and real sector and the present economic financial crisis: study of energy sector and market," Working papers wpaper105, Financialisation, Economy, Society & Sustainable Development (FESSUD) Project.
  44. Wang, Lu & Wang, Xing & Liang, Chao, 2024. "Natural gas volatility prediction via a novel combination of GARCH-MIDAS and one-class SVM," The Quarterly Review of Economics and Finance, Elsevier, vol. 98(C).
  45. Shahzad, Farrukh & Bouri, Elie & Mokni, Khaled & Ajmi, Ahdi Noomen, 2021. "Energy, agriculture, and precious metals: Evidence from time-varying Granger causal relationships for both return and volatility," Resources Policy, Elsevier, vol. 74(C).
  46. Gavriilidis, Konstantinos & Kambouroudis, Dimos S. & Tsakou, Katerina & Tsouknidis, Dimitris A., 2018. "Volatility forecasting across tanker freight rates: The role of oil price shocks," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 118(C), pages 376-391.
  47. Chai, Jian & Xing, Li-Min & Zhou, Xiao-Yang & Zhang, Zhe George & Li, Jie-Xun, 2018. "Forecasting the WTI crude oil price by a hybrid-refined method," Energy Economics, Elsevier, vol. 71(C), pages 114-127.
  48. Xiaopeng Guo & Yanan Wei & Jiahai Yuan, 2016. "Will the Steam Coal Price Rebound under the New Economy Normalcy in China?," Energies, MDPI, vol. 9(9), pages 1-13, September.
  49. Owusu Junior, Peterson & Tiwari, Aviral Kumar & Tweneboah, George & Asafo-Adjei, Emmanuel, 2022. "GAS and GARCH based value-at-risk modeling of precious metals," Resources Policy, Elsevier, vol. 75(C).
  50. Peng, Lijuan & Liang, Chao, 2023. "Sustainable development during the post-COVID-19 period: Role of crude oil," Resources Policy, Elsevier, vol. 85(PA).
  51. Yue, Tian & Li, Lu-Lu & Ruan, Xinfeng & Zhang, Jin E., 2024. "Smirking in the energy market: Evidence from the Chinese crude oil options market," International Review of Financial Analysis, Elsevier, vol. 96(PA).
  52. Efimova, Olga & Serletis, Apostolos, 2014. "Energy markets volatility modelling using GARCH," Energy Economics, Elsevier, vol. 43(C), pages 264-273.
  53. Lyu, Yongjian & Wei, Yu & Hu, Yingyi & Yang, Mo, 2021. "Good volatility, bad volatility and economic uncertainty: Evidence from the crude oil futures market," Energy, Elsevier, vol. 222(C).
  54. Benedetto, Francesco & Mastroeni, Loretta & Quaresima, Greta & Vellucci, Pierluigi, 2020. "Does OVX affect WTI and Brent oil spot variance? Evidence from an entropy analysis," Energy Economics, Elsevier, vol. 89(C).
  55. Muhammad Abubakr Naeem & Saqib Farid & Safwan Mohd Nor & Syed Jawad Hussain Shahzad, 2021. "Spillover and Drivers of Uncertainty among Oil and Commodity Markets," Mathematics, MDPI, vol. 9(4), pages 1-26, February.
  56. Liu, Junjie & Zhou, Qingnan & Chen, Zhenlong, 2025. "A RGARCH-CARR-SK model: A new high-frequency volatility forecasting and risk measurement model based on dynamic higher moments and generalized realized measures," The North American Journal of Economics and Finance, Elsevier, vol. 77(C).
  57. Jianguo Zhou & Xuechao Yu & Xiaolei Yuan, 2018. "Predicting the Carbon Price Sequence in the Shenzhen Emissions Exchange Using a Multiscale Ensemble Forecasting Model Based on Ensemble Empirical Mode Decomposition," Energies, MDPI, vol. 11(7), pages 1-17, July.
  58. Zhang, Lei & Chen, Yan & Bouri, Elie, 2024. "Time-varying jump intensity and volatility forecasting of crude oil returns," Energy Economics, Elsevier, vol. 129(C).
  59. Deyun Wang & Yanling Liu & Zeng Wu & Hongxue Fu & Yong Shi & Haixiang Guo, 2018. "Scenario Analysis of Natural Gas Consumption in China Based on Wavelet Neural Network Optimized by Particle Swarm Optimization Algorithm," Energies, MDPI, vol. 11(4), pages 1-16, April.
  60. Zouheir Mighri & Raouf Jaziri, 2023. "Long-Memory, Asymmetry and Fat-Tailed GARCH Models in Value-at-Risk Estimation: Empirical Evidence from the Global Real Estate Markets," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 21(1), pages 41-97, March.
  61. Lin, Ling & Jiang, Yong & Xiao, Helu & Zhou, Zhongbao, 2020. "Crude oil price forecasting based on a novel hybrid long memory GARCH-M and wavelet analysis model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 543(C).
  62. Yong Zhang & Miner Zhong & Nana Geng & Yunjian Jiang, 2017. "Forecasting electric vehicles sales with univariate and multivariate time series models: The case of China," PLOS ONE, Public Library of Science, vol. 12(5), pages 1-15, May.
  63. Bissoondoyal-Bheenick, Emawtee & Brooks, Robert & Do, Hung Xuan & Smyth, Russell, 2020. "Exploiting the heteroskedasticity in measurement error to improve volatility predictions in oil and biofuel feedstock markets," Energy Economics, Elsevier, vol. 86(C).
  64. Seulki Chung, 2024. "Modelling and Forecasting Energy Market Volatility Using GARCH and Machine Learning Approach," Papers 2405.19849, arXiv.org.
  65. Fenech, Jean-Pierre & Vosgha, Hamed, 2019. "Oil price and Gulf Corporation Council stock indices: New evidence from time-varying copula models," Economic Modelling, Elsevier, vol. 77(C), pages 81-91.
  66. Kamocsai, László & Ormos, Mihály, 2025. "Modeling gasoline price volatility," Finance Research Letters, Elsevier, vol. 73(C).
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  68. Qian, Lihua & Zeng, Qing & Li, Tao, 2022. "Geopolitical risk and oil price volatility: Evidence from Markov-switching model," International Review of Economics & Finance, Elsevier, vol. 81(C), pages 29-38.
  69. Zhang, Jin-Liang & Zhang, Yue-Jun & Zhang, Lu, 2015. "A novel hybrid method for crude oil price forecasting," Energy Economics, Elsevier, vol. 49(C), pages 649-659.
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