Return interdependencies, ARCH and GARCH effects and dynamic conditional correlations among returns of alternative energy, technology index, crude oil and natural gas

Abstract

The purpose of this thesis is to examine relationships between alternative energy, technology, crude oil and natural gas over period of January 1, 2006 to December 31, 2015. The research covers two regions: North-America and Europe. Along with modelling return dependencies between variables, volatility spillover effects are also studied using MGARCH–models with BEKK, Diagonal VECH, Constant Conditional Correlation and Dynamic Conditional Correlation parametrisation. Correlation analysis is also performed. The correlation coefficients are generated from the basis of constant conditional correlation and dynamic conditional correlation models.