Return And Volatility Spillover Between Energy Commodities: Evidence From the VAR-EGARCH Model

Year 2022, , 2187 - 2207, 19.10.2022

Sevinç Şahin Dağlı , İsmail Çelik

https://doi.org/10.21547/jss.1089183

Cited By: 1

Abstract

This study aims to examine whether there is a return and volatility spillover among energy commodities. As a result of different macroeconomic developments, return volatility in asset prices can spillover among commodities and affect each other's returns. The determination of the factors affecting the prices of energy commodities and the spillover among them is worth examining, especially for those who invest and are interested in the energy market. Within the scope of the study, the data regarding Brent Oil, Heating Oil, Natural Gas, and WTI between 01.01.2008-31.12.2020 are evaluated by VAR-EGARCH method. The results demonstrate that the information shocks, in which the returns of energy commodities interact in the short-term, spillover multidirectionally and asymmetrically in returns and volatility. It is determined that the natural gas return series is affected by the prices of other commodities, but it does not affect any energy commodities. As for the volatility spillover, there is unidirectional spillover from heating oil to natural gas series, but there is a multidirectional spillover among other commodities.

Keywords

Energy Market, Volatility Spillover, VAR-EGARCH, Energy Commodities

Enerji Emtiaları Arasında Getiri ve Volatilite Yayılımı: VAR-EGARCH Modelinden Kanıtlar

Abstract

Bu araştırmanın amacı enerji emtiaları arasında getiri ve volatilite yayılımı olup olmadığını incelemektir. Farklı makroekonomik gelişmeler neticesi varlık fiyatlarında meydana gelen getiri oynaklıkları emtialar arasında yayılım göstererek birbirlerinin getirilerini de etkileyebilmektedir. Enerji emtialarının fiyatlarını etkileyen unsurların ve aralarındaki yayılımın tespiti özellikle yatırım yapmak isteyenler ve enerji piyasası ile ilgilenenler açısından incelenmeye değer bulunmaktadır. Araştırma kapsamında 01.01.2008-31.12.2020 tarihleri arasındaki Brent Petrol, Heating Oil, Natural Gas ve WTI ham petrol verileri VAR-EGARCH yöntemiyle değerlendirilmiştir. Araştırma sonucunda enerji emtialarına ait getirilerin kısa dönemli etkileşim halinde olduğu bilgi şoklarının getiri ve volatilitede çoklu ve asimetrik olarak yayıldığı görülmüştür. Doğalgaz getiri serisinin diğer emtiaların fiyatlarından etkilendiği fakat kendisinin hiçbir enerji emtiasını etkilemediği ayrıca tespit edilmiştir. Volatilite yayılımında ise ısıtma yağından doğalgaz serilerine tek taraflı diğer emtialar arasında karşılıklı yayılım olduğu sonucuna varılmıştır.

Keywords

Enerji Piyasası, Volatilite Yayılımı, VAR-EGARCH, Enerji Emtiaları.

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