Wang, Yudong; Wu, Chongfeng - In: Energy Economics 34 (2012) 6, pp. 2167-2181
In this paper, we forecast energy market volatility using both univariate and multivariate GARCH-class models. First, we forecast volatilities of individual assets and find that multivariate models display better performance than univariate models. Second, we forecast crack spread volatility and...