{"title":"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","authors":"Kajal Panwar, M. Yadav, N. Puri","doi":"10.1177/22785337231172042","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":37330,"journal":{"name":"Business Perspectives and Research","volume":" ","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2023-06-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Predicting the Symmetric and Asymmetric Volatility of Energy Market: Evidence from COVID Outbreak in India and USA\",\"authors\":\"Kajal Panwar, M. Yadav, N. Puri\",\"doi\":\"10.1177/22785337231172042\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"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.\",\"PeriodicalId\":37330,\"journal\":{\"name\":\"Business Perspectives and Research\",\"volume\":\" \",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2023-06-09\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Business Perspectives and Research\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1177/22785337231172042\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"Business, Management and Accounting\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Business Perspectives and Research","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1177/22785337231172042","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"Business, Management and Accounting","Score":null,"Total":0}
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.
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.