Asymmetric volatility spillover between crude oil and other asset markets

Bo Guan, Khelifa Mazouz and Yongdeng Xu

Energy Economics, 2024, vol. 130, issue C

Abstract: This study uses the Multiplicative Error Model (MEM) to explore asymmetric volatility spillovers between crude oil and other major asset markets. We have extended the MEM of Engle et al. (2012) to include asymmetric volatility spillovers and developed the spillover balance as well as asymmetric spillover indexes. We have then allowed these indexes to vary over time. Our results reveal that the stock market is the dominant contributor to volatility spillover, while the crude oil is mostly the volatility spillover recipient. The asymmetric spillover effects are predominantly negative in the stock and crude oil markets and positive in the bond market. We further show that the spillover indexes are dynamic and influenced by specific events, such as the global financial crisis and the COVID-19 pandemic, as well as varying economic conditions.

Keywords: Asymmetric volatility spillovers; Global asset markets; Multiplicative Error Model (MEM); Spillover balance index (search for similar items in EconPapers)
JEL-codes: C58 F36 G10 G15 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Working Paper: Asymmetric volatility spillover between crude oil and other asset markets (2023)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:130:y:2024:i:c:s0140988324000136

DOI: 10.1016/j.eneco.2024.107305

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