Using two alternative approaches, this paper attempts to shed light on the volatility spillovers between crude oil … major stock indexes, covering daily frequency data for the period 1989-2007. The findings indicate that oil price volatility … has, in general, a negative impact on stock market behavior. Also, some asymmetry and persistence on oil price volatility …

alternative models of constant and time-varying volatility based on the accuracy of point and density forecasts of real oil prices … models with respectively, constant volatility and two forms of time-varying volatility: GARCH and stochastic volatility. In … addition to the standard time-varying models, more flexible models with volatility in mean and moving average innovations are …