 Time-varying volatility spillover between Chinese fuel oil and stock index futures markets based on a DCC-GARCH model with a semi-nonparametric approachYang Hou, Steven Li and Fenghua Wen Energy Economics, 2019, vol. 83, issue C, 119-143 Abstract: This paper reveals some new evidence on the volatility spillover between fuel oil and stock index futures markets in China by considering its time-variant feature. Time-varying effect is specified by the Legendre polynomials in a DCC GARCH model. Moreover, the semi-nonparametric (SNP) approach accounting for marginal excess kurtosis and asymmetry is applied. We find different time-evolving patterns of volatility spillover across multiple periods due to the structural breaks. The direction of mean volatility spillover is found to be bilateral. Moreover, the strength of mean volatility spillover shows that the effect from stock index to fuel oil futures is much stronger than the other way around. This implies that the stock index futures market plays a leading role in information processing. These findings have important implications for the fuel oil stakeholders as well as risk management. Keywords: Chinese stock index futures; Chinese fuel oil futures; GARCH models; Time-varying volatility spillover; SNP approach (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:83:y:2019:i:c:p:119-143 DOI: 10.1016/j.eneco.2019.06.020 Access Statistics for this article Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant More articles in Energy Economics from Elsevier |
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