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Volatility of the alternative energy input prices and spillover effects: a VAR [MA]-MGARCH in BEKK approach for the Turkish economy

Abstract

The interaction among the energy unit prices, which are considered as the most effective factor on the realization of economic growth, and the distribution of this interaction throughout the manufacturing process have become popular subjects in research recently. Especially, the scarcity of energy resources and the problems encountered in their supply make it necessary to utilize alternative energy resources. Thus, the realization of production using different energy inputs simultaneously results in an interaction between the factors and the spillover effect. Thus, in the study, alternative vector autoregressive M-GARCH (VAR [-MA] -MGARH) models would be predicted based on the spillover effect between the conditional variance and alternative energy input prices.

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Fig. 1

Notes

  1. Volatility spillover reflects whether price information for variables are transmitted with the second moment or volatility, or whether the developments in the market affected other markets, and if they did what was the degree of influence.

  2. See Nakatani and Teräsvirta (2008).

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Correspondence to Salih Katircioğlu.

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Katircioğlu, S., Abasiz, T., Sezer, S. et al. Volatility of the alternative energy input prices and spillover effects: a VAR [MA]-MGARCH in BEKK approach for the Turkish economy. Environ Sci Pollut Res 26, 10738–10745 (2019). https://doi.org/10.1007/s11356-019-04531-5

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Keywords

  • Alternative energy
  • Price
  • Volatility
  • Spillover effects
  • Turkey