Data for: Equity market implied volatility and energy prices: A double threshold GARCH approach

Abstract of associated article: This study investigates the role of VIX in determining the returns and return volatilities of oil, heating oil, gasoline, and natural gas. A double threshold GARCH(1,1) methodology is utilized where the VIX index is used as the threshold regime change indicator. Daily data from January 4, 1999, to December 31, 2013, are used. A sub-period analysis covering only the financial crisis period of January 2, 2007, to December 31, 2009, is also performed. This study provides evidence that the level of equity market volatility (i.e., VIX) that triggers a regime shift is commodity specific. The results also indicate that the threshold VIX values are time varying. Furthermore, natural gas prices appear to withstand considerably more volatility in the equity market than do the prices of other energy commodities. This relationship is even more pronounced during the financial crisis period. Approximately 70% and 50% of the estimated coefficients display asymmetric sensitivities due to regime changes during the entire period and the crisis period, respectively. The findings have practical implications as the underlying volatility of an asset plays a significant role in determining its associated activity in the futures markets.关联论文摘要：本研究探讨了VIX（波动率指数，Volatility Index）在决定原油、取暖油、汽油及天然气的收益率与收益波动率中的作用。研究采用双阈值广义自回归条件异方差（GARCH, Generalized Autoregressive Conditional Heteroskedasticity）(1,1)模型方法，以VIX指数作为阈值区制转换指示变量，使用1999年1月4日至2013年12月31日的日度数据集。此外，本研究还针对2007年1月2日至2009年12月31日的金融危机区间开展了子样本分析。本研究证实，触发区制转换的股票市场波动率（即VIX）阈值水平因商品品类而异；研究结果同时表明，VIX阈值水平具有时变性。相较于其他能源商品，天然气价格对股票市场波动率的承受能力显著更强，该关联在金融危机期间表现得更为突出。在全样本区间与危机样本区间中，分别有约70%与50%的估计系数因区制转换呈现出非对称敏感性。鉴于资产的潜在波动率对其期货市场相关交易活动具有显著影响，本研究结论具备实际应用价值。