Volatility spillover across energy indices of the stock markets

Marius Acatrinei ()

Romanian Statistical Review, 2015, vol. 63, issue 2, 5-13

Abstract: The paper will use a MSGARCH model to analyze how are transmitted the sudden changes in volatility transmission from the energy market across several energy indices including Romania. In addition to the GARCH models, the class of Markov-switching GARCH (MSGARCH) may provide an early warning indication of changes in the conditional volatility. We use daily closing data spanning a ten year period in order to capture the dependencies and sensitivities of energy related equity sector.

Keywords: energy market; Markov Switching; stock market indices (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.revistadestatistica.ro/wp-content/uploads/2015/04/RRS2_2015_A02.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rsr:journl:v:63:y:2015:i:2:p:5-13

Access Statistics for this article

More articles in Romanian Statistical Review from Romanian Statistical Review Contact information at EDIRC.
Bibliographic data for series maintained by Adrian Visoiu ().