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Investigating the correlation of volatility in oil markets: CCC-GARCH approach
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Samaneh Bagheri *   |
| yazd university |
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Abstract: (14 Views) |
This study examines the dynamics of volatility correlation in global oil markets including WTI, Brent, and OPEC in three periods: the US financial crisis, the European financial crisis, and the post-crisis period. Using the multivariate conditional constant correlation (CCC-GARCH) model, the simultaneous behavior of price fluctuations and the level of volatility contagion among oil markets in the period from 2/1/2003 to 26/8/2024 has been analyzed. The results show that during the US financial crisis, the volatility correlation among oil markets was very high and relatively stable, and the OPEC market had the greatest correlation with WTI. In the European financial crisis, the risk contagion path changed and the correlation between the OPEC and Brent markets increased, while the role of WTI in the transmission of volatility decreased. In the post-financial crisis period, with the restructuring of the global energy market, the level of correlation between oil indices increased again, indicating greater convergence of oil markets and a decrease in the advantage of portfolio diversification. The results suggest that increased volatility correlation during crisis periods reflects the rapid transmission of price shocks across oil markets. The findings provide valuable guidance for economic policymakers and investors in risk management and the design of hedging strategies in crisis situations.
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Article number: 5 |
| Keywords: volatility correlation, CCC-GARCH, oil markets, financial crisis |
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Full-Text [PDF 630 kb]
(6 Downloads)
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Type of Study: Research |
Subject:
Special
Received: 2025/07/20 | Accepted: 2025/12/4 | Published: 2026/01/1
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