Volatility spillovers between WTI and Brent spot crude oil prices: an analysis of granger causality in variance patterns over time

Tail Risk Connectedness in the Refined Petroleum Market: A First Look at the Impact of the COVID Pandemic

“…This study is associated with the literature on petroleum return (or volatility) spillovers (see, Atukeren et al, 2021;Asai et al, 2020;Dahl et al, 2020;Liu and Gong, 2020;Chatziantoniou et al, 2020;Baruník et al, 2015). In addition, our study is also related to the broader strand of volatility spillovers literature (see, Atukeren et al, 2021;Dahl et al, 2020, and references therein).…”

“…This study is associated with the literature on petroleum return (or volatility) spillovers (see, Atukeren et al, 2021;Asai et al, 2020;Dahl et al, 2020;Liu and Gong, 2020;Chatziantoniou et al, 2020;Baruník et al, 2015). In addition, our study is also related to the broader strand of volatility spillovers literature (see, Atukeren et al, 2021;Dahl et al, 2020, and references therein). For instance, Atukeren et al (2021) and Dahl et al (2020) evaluate petroleum volatility spillovers predicating upon the index initially proposed by Yilmaz (2009, 2012) and utilizing Granger causality and EGARCH models, respectively.…”

“…In addition, our study is also related to the broader strand of volatility spillovers literature (see, Atukeren et al, 2021;Dahl et al, 2020, and references therein). For instance, Atukeren et al (2021) and Dahl et al (2020) evaluate petroleum volatility spillovers predicating upon the index initially proposed by Yilmaz (2009, 2012) and utilizing Granger causality and EGARCH models, respectively.…”

Evidence from the nonlinear autoregressive distributed lag model on the asymmetric influence of the first wave of the COVID-19 pandemic on energy markets

“…Crude oil is one of the world's most valuable commodities that influence the worldwide economy, their prices being contingent on the economic circumstances, business cycle, and turning points, 45 while its price variability is a prominent gauge for stock market instability and financial distress. 57 The pandemic perturbed the operation of the worldwide crude oil market and several financial markets, hence generating risks to investors. 58 For this reason, Salisu and Adediran 59 suggested that infectious disease equity market volatility is a reliable indicator of electricity market fluctuations.…”

“…A GARCH(1,1) model is deemed to be suitable for representing the evolution of volatility, 57 but we will examine different variants of the GARCH model throughout our study. A GARCH model (1,1) corresponds to an ARCH form (2) , whilst the GARCH model (p, q) relates to an ARCH specification (p + q) .…”