PhD Marius Acatrinei
Abstract
The paper will use a MSGARCH model to analyze how are transmitted the sudden changes in volatility transmission from the energy market across several energy indices including Romania. In addition to the GARCH models, the class of Markov-switching GARCH (MSGARCH) may provide an early warning indication of changes in the conditional volatility. We use daily closing data spanning a ten year period in order to capture the dependencies and sensitivities of energy related equity sector.
