Modelling price volatility in energy futures during Covid-19

Yashmin Khatun, Sabat Kumar Digal and Dushyant Mahadik

International Journal of Trade and Global Markets, 2024, vol. 19, issue 1, 85-109

Abstract: Studies using various models have been undertaken to measure the impact of Covid-19 on energy futures but very few have focussed on identifying the best model. Therefore, this paper applied various models like GARCH, TGARCH, EGARCH and PGARCH with three error distribution terms to identify the best fit model that measures the volatility in Natural gas and Crude oil futures traded on MCX, before and during the pandemic. Further, it has tried to study volatility spillover effects of spot and futures prices for the entire duration by employing Bivariate BEKK GARCH Model. The results show the variation in leverage effect in both the futures and existence of bi-directional volatility spillover in long and short period. The findings of the study can help financial market players to have better understanding of the market dynamics of natural gas and crude oil volatility and help stakeholders deal with energy futures market volatility in a better way.

Keywords: Covid-19; volatility; energy futures; GARCH models; volatility spillover; crude oil; natural gas; forecasting. (search for similar items in EconPapers)
Date: 2024
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