The main purpose of this study is to investigate the stochastic volatility spillover between oil risk, oil spot market and oil futures market. Various oil indices for the period 16.03.2011 – 03.09.2021 were used daily in the study. The data was converted into a return series and used for the analysis. First of all, the stationarity test of the variables was done by the Lee- Strazicich unit root test and it was determined that the series were stationary at the level. Stochastic volatility transfer between oil risk, oil spot market and oil futures market is analyzed with multivariate dynamic stochastic volatility model. According to the results of the multivariate stochastic volatility model There is no volatility spillover between oil risk and oil spot, but bidirectional volatility transfer is detected between oil risk and oil futures market. It has been determined that the realized volatility is positive. In addition, one-way and positive volatility transfer from oil spot market to oil futures market has been determined.
Alan : Sosyal, Beşeri ve İdari Bilimler
Dergi Türü : Uluslararası
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