预测能源市场的对称和非对称波动:来自印度和美国疫情的证据

Q2 Business, Management and Accounting

Business Perspectives and Research Pub Date : 2023-06-09 DOI:10.1177/22785337231172042

Kajal Panwar, M. Yadav, N. Puri

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引用次数: 0

摘要

由于需求因素，新冠肺炎疫情对能源行业产生了巨大影响。波动性已成为能源行业的一个主要问题，新冠肺炎给这一特征蒙上了阴影。我们预测了新冠肺炎疫情期间印度和美国能源市场的对称和不对称波动。能源市场以这两个国家的原油和天然气为代表。对于经验估计，基于2020年3月25日至2022年1月31日的每日观测，采用标准广义自回归条件异方差（s-GARCH）和指数GARCH（e-GARCH）。结果表明，新的信息被捕捉到，印度和美国能源市场都存在持续的波动。条件波动率随着这些市场的时间而衰减，因为它有均值回归的支持，而印度能源市场衰减相对较快。此外，它描述了印度和美国能源市场都没有杠杆效应。本研究为投资者和投资组合经理在考虑好消息和坏消息影响的情况下进行风险预测提供了见解。

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Predicting the Symmetric and Asymmetric Volatility of Energy Market: Evidence from COVID Outbreak in India and USA

The COVID-19 pandemic had a tremendous impact on the energy sector because of demand factor. Volatility has emerged as a major concern in the energy industry and COVID-19 has cast a dark shadow over this characteristic. We predict the symmetrical and asymmetric volatility of energy market in India and USA during COVID-19 outbreak tenure. The energy market is proxied by crude oil and natural gas of these two countries. For an empirical estimation, standard generalized autoregressive conditional heteroscedasticity (s-GARCH) and exponential GARCH (e-GARCH) are employed based on daily observations spanning from March 25, 2020 to January 31, 2022. The result reveals that new information is captured and there is volatility persistence in both Indian and US energy markets. The conditional volatility decays over the time of these markets since it is backed by mean reversion and Indian energy market decays fast comparatively. Additionally, it depicts that there is no leverage effect in both Indian and US energy markets. This study furnishes an insight to the investors and portfolio managers with respect to risk prediction considering impact of good and bad news.

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来源期刊

Business Perspectives and Research Business, Management and Accounting-Business and International Management

CiteScore

5.00

自引率

0.00%

发文量

期刊介绍： Business Perspectives and Research (BPR) aims to publish conceptual, empirical and applied research. The empirical research published in BPR focuses on testing, extending and building management theory. The goal is to expand and enhance the understanding of business and management through empirical investigation and theoretical analysis. BPR is also a platform for insightful and theoretically strong conceptual and review papers which would contribute to the body of knowledge. BPR seeks to advance the understanding of for-profit and not-for-profit organizations through empirical and conceptual work. It also publishes critical review of newly released books under Book Review section. The aim is to popularize and encourage discussion on ideas expressed in newly released books connected to management and allied disciplines. BPR also periodically publishes management cases grounded in theory, and communications in the form of research notes or comments from researchers and practitioners on published papers for critiquing and/or extending thinking on the area under consideration. The overarching aim of Business Perspectives and Research is to encourage original/innovative thinking through a scientific approach.