Volatility spillovers across the spot and futures oil markets after news announcements

George N. Apostolakis, Christos Floros, Konstantinos Gkillas and Mark Wohar

The North American Journal of Economics and Finance, 2024, vol. 69, issue PA

Abstract: We study the influence of OPEC announcements on volatility transmission across the Brent and WTI oil markets. First, we examine the impact of information shocks with the use of a VEC-MGARCH model, allowing for asymmetry and structural breaks. Second, we examine the transmission of volatility across crude oil markets with the use of a dynamic connectedness approach. Our results demonstrate the existence of asymmetry in the responses to shocks during the Russia-Saudi Arabia oil price war. Furthermore, we find larger volatility responses for the Brent futures and spot prices after negative shocks in the COVID-19 period compared to shocks in the pre-COVID-19 period. Additionally, our results from the dynamic volatility connectedness model suggest that the WTI spot and futures markets are net transmitters of volatility shocks.

Keywords: Asymmetric effects; Volatility spillovers; MGARCH; Volatility impulse responses; Futures; VECM; DCC; Connectedness index; COVID-19 pandemic (search for similar items in EconPapers)
JEL-codes: C22 C32 C58 G32 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:69:y:2024:i:pa:s1062940823001250

DOI: 10.1016/j.najef.2023.102002

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