Modelling Market Indices, Commodity Market Prices and Stock Prices of Energy Sector using VAR with Variance Decomposition Model

Modelling Market Indices, Commodity Market Prices and Stock Prices of Energy Sector using VAR with Variance Decomposition Model

The study aims to examine the existence of a correlation between the stock prices of the energy sector, commodities prices of the energy sector, and market indices. The study uses an empirical approach to develop various VAR (Vector Autoregression) with Variance Decomposition Models for each compan...

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Bibliographic Details
Main Authors: Bharat Kumar Meher, Iqbal Thonse Hawaldar, Santosh Kumar, Abhishek Kumar Gupta
Format: Article
Language:English
Published: EconJournals 2022-07-01
Series:International Journal of Energy Economics and Policy
Subjects:
Vector Autoregression
VAR with Variance Decomposition
Market Index
NIFTY50
Nifty Energy
Commodity Market
Online Access:https://econjournals.com/index.php/ijeep/article/view/13161

Internet

https://econjournals.com/index.php/ijeep/article/view/13161

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