Abstract

This study estimates and compares the asymmetry and persistence of volatility of crude oil, natural gas and coal- three main sources of energy. This study also evaluates the effect of recent Global Financial Crisis (GFC) on the return and volatility of these energy prices. Threshold GARCH (TGARCH) and fractionally integrated GARCH (FIGARCH) model are employed to facilitate the study. The estimated results show that coal return volatility exhibits strong mean reversion whereas crude oil and natural gas return volatility endures shocks for relatively higher period. The estimated results also confirm that volatility of crude oil and natural gas increases after positive shocks in prices.

Keywords

energy price, volatility, GARCH

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