Time-Varying Volatility Feedback of Energy Prices: Evidence from Crude Oil, Petroleum Products, and Natural Gas Using a TVP-SVM Model

doi:10.3390/su10124705

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	Time-Varying Volatility Feedback of Energy Prices: Evidence from Crude Oil, Petroleum Products, and Natural Gas Using a TVP-SVM Model
	Jiang, Yong 1; Ma, Chao-Qun 1,2; Yang, Xiao-Guang3 ; Ren, Yi-Shuai 1,2
	2018-12-01
发表期刊	SUSTAINABILITY
ISSN	2071-1050
卷号	10 期号:12 页码:17
摘要	In this paper, the time-varying volatility feedback of nine series of energy prices is researched by employing the time-varying parameter stochastic volatility in mean (TVP-SVM) model. The major findings and conclusions can be grouped as follows: Significant differences exist in the time-varying volatility feedback among the nine major energy productions. Specifically, crude oil and diesel's price volatility has a remarkable positive time-varying effect on their returns. Yet the returns, for natural gas and most petroleum products are negatively affected by their price volatility over time. Furthermore, obvious structural break features exist in the time-varying volatility feedback of energy prices, which coincide with the breakpoints in the energy volatility. This indicates that some factors such as major global economic and geopolitical events that cause the sudden structural breaks in the energy volatility may also affect the volatility feedback of the energy price. Moreover, the volatility feedback in energy price will become weak and even have no impact on energy returns in some special periods when the energy price volatility is extremely high.
关键词	crude oil natural gas petroleum product structural breaks time-varying volatility feedback TVP-SVM model
DOI	10.3390/su10124705
语种	英语
资助项目	National Natural Science Foundation of China[71431008] ; National Natural Science Foundation of China[71521061] ; National Natural Science Foundation of China[71790593] ; Department of Science and Technology of Hunan province[2018GK1020]
WOS研究方向	Science & Technology - Other Topics ; Environmental Sciences & Ecology
WOS类目	Green & Sustainable Science & Technology ; Environmental Sciences ; Environmental Studies
WOS记录号	WOS:000455338100371
出版者	MDPI
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/32249
专题	系统科学研究所
通讯作者	Ma, Chao-Qun; Yang, Xiao-Guang; Ren, Yi-Shuai
作者单位	1.Hunan Univ, Business Sch, Changsha 410082, Hunan, Peoples R China 2.Hunan Univ, Ctr Resource & Environm Management, Changsha 410082, Hunan, Peoples R China 3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Jiang, Yong,Ma, Chao-Qun,Yang, Xiao-Guang,et al. Time-Varying Volatility Feedback of Energy Prices: Evidence from Crude Oil, Petroleum Products, and Natural Gas Using a TVP-SVM Model[J]. SUSTAINABILITY,2018,10(12):17.
APA	Jiang, Yong,Ma, Chao-Qun,Yang, Xiao-Guang,&Ren, Yi-Shuai.(2018).Time-Varying Volatility Feedback of Energy Prices: Evidence from Crude Oil, Petroleum Products, and Natural Gas Using a TVP-SVM Model.SUSTAINABILITY,10(12),17.
MLA	Jiang, Yong,et al."Time-Varying Volatility Feedback of Energy Prices: Evidence from Crude Oil, Petroleum Products, and Natural Gas Using a TVP-SVM Model".SUSTAINABILITY 10.12(2018):17.