Dynamics of volatility behaviour and spillover from crude to energy crops: Empirical evidence from India
The study is an attempt to investigate the impact of crude prices on energy crops; Soyabean, Wheat and Sugarcane for India for the period Jan 2016-Dec 2020. The study mainly covered two dimensions; the spillover of volatility from crude to the energy crops and the asymmetric angle. The econometric t...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2022-12-01
|
| Series: | Energy Nexus |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2772427122001073 |
| _version_ | 1828167908777263104 |
|---|---|
| author | Rakesh Shahani Anishka Taneja |
| author_facet | Rakesh Shahani Anishka Taneja |
| author_sort | Rakesh Shahani |
| collection | DOAJ |
| description | The study is an attempt to investigate the impact of crude prices on energy crops; Soyabean, Wheat and Sugarcane for India for the period Jan 2016-Dec 2020. The study mainly covered two dimensions; the spillover of volatility from crude to the energy crops and the asymmetric angle. The econometric tests employed under the study were GARCH(1,1), TGARCH(1) and AR(2)-EGARCH(1,1) Models. The results revealed that return on crude was impacting two crops; sugarcane and wheat while it had no impact on soyabean. The ‘T-GARCH’ results revealing asymmetry were statistically significant for all the three crops, however since soyabean did not have significant slope coefficient in Mean Equation, it was held that asymmetry held only for two crops viz. wheat and sugarcane and not for soyabean. Further coefficient of asymmetry for two crops was positive indicating that positive shock (fall in crude prices) impacted the crop volatility more than an equivalent negative shock (rise in crude prices). The results for spillover of volatility from crude to energy crops using AR(2)-EGARCH(1,1) Model showed that spillover from crude to both; sugarcane and wheat was statistically significant but coefficient in both crops had negative sign. Degree of volatility persistence was statistically significant for these two crops but its value was low implying that a shock to crude had a slow decaying impact on both these crops. |
| first_indexed | 2024-04-12T02:25:05Z |
| format | Article |
| id | doaj.art-faf768d2f7c94c328b5efd2b356cae36 |
| institution | Directory Open Access Journal |
| issn | 2772-4271 |
| language | English |
| last_indexed | 2024-04-12T02:25:05Z |
| publishDate | 2022-12-01 |
| publisher | Elsevier |
| record_format | Article |
| series | Energy Nexus |
| spelling | doaj.art-faf768d2f7c94c328b5efd2b356cae362022-12-22T03:52:02ZengElsevierEnergy Nexus2772-42712022-12-018100152Dynamics of volatility behaviour and spillover from crude to energy crops: Empirical evidence from IndiaRakesh Shahani0Anishka Taneja1Corresponding author.; Department of Business Economics, Dr. Bhim Rao Ambedkar College (University of Delhi) , Main Wazirabad Road, Opp. Gokalpuri, Metro Station, Delhi 110094, IndiaDepartment of Business Economics, Dr. Bhim Rao Ambedkar College (University of Delhi) , Main Wazirabad Road, Opp. Gokalpuri, Metro Station, Delhi 110094, IndiaThe study is an attempt to investigate the impact of crude prices on energy crops; Soyabean, Wheat and Sugarcane for India for the period Jan 2016-Dec 2020. The study mainly covered two dimensions; the spillover of volatility from crude to the energy crops and the asymmetric angle. The econometric tests employed under the study were GARCH(1,1), TGARCH(1) and AR(2)-EGARCH(1,1) Models. The results revealed that return on crude was impacting two crops; sugarcane and wheat while it had no impact on soyabean. The ‘T-GARCH’ results revealing asymmetry were statistically significant for all the three crops, however since soyabean did not have significant slope coefficient in Mean Equation, it was held that asymmetry held only for two crops viz. wheat and sugarcane and not for soyabean. Further coefficient of asymmetry for two crops was positive indicating that positive shock (fall in crude prices) impacted the crop volatility more than an equivalent negative shock (rise in crude prices). The results for spillover of volatility from crude to energy crops using AR(2)-EGARCH(1,1) Model showed that spillover from crude to both; sugarcane and wheat was statistically significant but coefficient in both crops had negative sign. Degree of volatility persistence was statistically significant for these two crops but its value was low implying that a shock to crude had a slow decaying impact on both these crops.http://www.sciencedirect.com/science/article/pii/S2772427122001073GARCHEGARCHTGARCHVolatility spilloverAsymmetry |
| spellingShingle | Rakesh Shahani Anishka Taneja Dynamics of volatility behaviour and spillover from crude to energy crops: Empirical evidence from India Energy Nexus GARCH EGARCH TGARCH Volatility spillover Asymmetry |
| title | Dynamics of volatility behaviour and spillover from crude to energy crops: Empirical evidence from India |
| title_full | Dynamics of volatility behaviour and spillover from crude to energy crops: Empirical evidence from India |
| title_fullStr | Dynamics of volatility behaviour and spillover from crude to energy crops: Empirical evidence from India |
| title_full_unstemmed | Dynamics of volatility behaviour and spillover from crude to energy crops: Empirical evidence from India |
| title_short | Dynamics of volatility behaviour and spillover from crude to energy crops: Empirical evidence from India |
| title_sort | dynamics of volatility behaviour and spillover from crude to energy crops empirical evidence from india |
| topic | GARCH EGARCH TGARCH Volatility spillover Asymmetry |
| url | http://www.sciencedirect.com/science/article/pii/S2772427122001073 |
| work_keys_str_mv | AT rakeshshahani dynamicsofvolatilitybehaviourandspilloverfromcrudetoenergycropsempiricalevidencefromindia AT anishkataneja dynamicsofvolatilitybehaviourandspilloverfromcrudetoenergycropsempiricalevidencefromindia |