Return and Volatility Spillover from Oil to Equity Market
In this essay a four stage GJR-GARCH(1,1) model is applied to test the presence of both return and volatility spillover to the European market from the oil market. The GJR-GARCH-model allow for asymmetric effects to be present in the country specific stock market. This four step model is applied to eight European countries and allow for spillover effects from oil market, US market and European mar