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Volatility Spillovers in Energy Markets

The volatility spillover effect refers to the impact that events in one market may have on the volatility of other markets, being the information flow connected to volatility whenever observed price changes are used to infer valuable information from price changes in the related market. This research issue is thereby closely related to price discovery and can also provide evidence for market integration. In this paper, we use the methodology proposed by Diebold and Yilmaz (2009 and 2012) to uncover the links between a total of 17 forward price series, covering electricity (from Germany, the Netherlands, France, Italy, Spain and the Nordic market), natural gas (NBP from the UK, ZEE from Belgium, TTF from the Netherlands, NCG and GASPOOL from Germany and Henry Hub from the US), crude oil (WTI from the US and Brent from Europe), coal (API2 index from Europe and CAPP from the US) and emission allowances (EUA from Europe), for the period from November 2008 to June 2016.