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

• Published in: Environmental science and pollution research international Vol. 26; no. 11; pp. 10738 - 10745
• Main Authors: Katircioğlu, Salih, Abasiz, Tezcan, Sezer, Sevgi, Katırcıoglu, Setareh
• Format: Journal Article
• Language: English
• Published: Berlin/Heidelberg Springer Berlin Heidelberg 01.04.2019; Springer Nature B.V
• Subjects: Alternative energy sources; Aquatic Pollution; Atmospheric Protection/Air Quality Control/Air Pollution; Autoregressive models; Earth and Environmental Science; Economic development; Economic growth; Economic models; Economics; Ecotoxicology; energy; Energy resources; Energy sources; Environment; Environmental Chemistry; Environmental Health; Environmental science; Manufacturing industry; Renewable energy; renewable energy sources; Research Article; variance; Volatility; Waste Water Technology; Water Management; Water Pollution Control; Turkey; Alternative energy; Price; Volatility; Spillover effects
• ISSN: 0944-1344; 1614-7499
• DOI: 10.1007/s11356-019-04531-5

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.