Forecasting energy market volatility using GARCH models: Can multivariate models beat univariate models?

Energy Economics

Volumn 34, Issue 6, 2012, Pages 2167-2181

  Wang, Yudong ^a   Wu, Chongfeng ^a  

^a Shanghai Jiao Tong University   (China)

Author keywords

Crack spread; Energy markets; Multivariate GARCH; Univariate GARCH; Volatility

Indexed keywords

CRACK SPREAD; ENERGY MARKETS; MULTIVARIATE GARCH; UNIVARIATE; VOLATILITY;

CRACKS; FORECASTING; INVESTMENTS;

COMMERCE;

ECONOMETRICS; ENERGY MARKET; FORECASTING METHOD; MULTIVARIATE ANALYSIS; NUMERICAL MODEL;

EID: 84867734240     PISSN: 01409883     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.eneco.2012.03.010     Document Type: Article

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