A volatility analysis of energy and stock prices

Abstract

In this paper, a new class of multivariate GARCH models is used to model conditional correlations and to analyze the volatility spillovers between oil prices, natural gas and the stock prices of clean energy companies and technology companies. This research use daily data from January 2006 to November 2016 to estimate the dynamic conditional correlations of the indexes above. We also imply Generalized Impulse Response Functions to the conditional correlations, so as to examine what happens between them when there is a shock. Our findings suggest that all the dynamic conditional correlations are positive, as well as the Impulse response functions of them, with the pair of clean energy companies and technology be the one with the strongest correlation.