Modeling Dynamic Correlation and Volatility of the Visegrad Group Fuel Markets

Abstract

This paper investigates the dynamic correlation and volatility of fuel markets in the Visegrad countries: Hungary, the Czech Republic, Poland, and Slovakia. The paper examines regional fuel markets and retail prices. The research explores the interrelationships of Visegrad fuel markets using VAR models and Johansen procedures. Using multivariate dynamic conditional GARCH (DCC GARCH-M) models, the paper explores the volatility and covariance of fuel prices in these nations. The results showed no long-term connections between Visegrad gasoline prices The performance of the domestic price is independent of other markets.

Keywords: Visegrad Group, fuel prices, cointegration, Johansen test, multivariate dynamic conditional correlation GARCH (DCC GARCH-M) model