Return And Volatility Spillover Between Energy Commodities: Evidence From the VAR-EGARCH Model.

This study aims to examine whether there is a return and volatility spillover among energy commodities. As a result of different macroeconomic developments, return volatility in asset prices can spillover among commodities and affect each other's returns. The determination of the factors affecting the prices of energy commodities and the spillover among them is worth examining, especially for those who invest and are interested in the energy market. Within the scope of the study, the data regarding Brent Oil, Heating Oil, Natural Gas, and WTI between 01.01.2008-31.12.2020 are evaluated by VAR-EGARCH method. The results demonstrate that the information shocks, in which the returns of energy commodities interact in the short-term, spillover multidirectionally and asymmetrically in returns and volatility. It is determined that the natural gas return series is affected by the prices of other commodities, but it does not affect any energy commodities. As for the volatility spillover, there is unidirectional spillover from heating oil to natural gas series, but there is a multidirectional spillover among other commodities. [ABSTRACT FROM AUTHOR]