Capturing Symmetrical and Asymmetrical Volatility in the Energy Market: Evidence of COVID-19 Outbreak and Russia Ukraine Saga

Abstract

The purpose of this study is to capture the symmetrical and asymmetrical volatility of the energy market in India and USA during COVID-19 and Russia–Ukraine invasion. To distinguish between COVID-19 and Russia–Ukraine invasion tenure, the periods 31 December to 23 February 2022 and 24 February 2022 to January 2023 were considered. The proxies for crude oil and natural gas in India are MCX ICOMDEX (MCICRD) and MCX ICOMDEX (MNGc1), respectively. The proxies for crude oil and natural gas in India are MCX ICOMDEX (MCICRD) and MCX ICOMDEX (MNGc1) respectively while BZ:NMX and NGH2 are taken to measure the US crude oil and natural gas respectively. The standard generalized autoregressive conditional heteroscedasticity and exponential generalized autoregressive conditional heteroscedasticity are employed to capture the volatility. We observe that each series captures the new information derived from the COVID-19 outbreak and Russia–Ukraine invasion as the alpha values of these series are positive and significant. Additionally, there is the persistence of the volatility in these series as their beta values are positive and significant but leverage effect is only found during Russia–Ukraine invasion in Indian crude oil market. This article offers implications to policy makers, investors and portfolio managers.