The Empirical Test of Steel Price Volatility and Volatility Spillover between Energy (Oil & Gas) and Steel Markets

Interdependence of markets may cause fluctuations in one market to positively or negatively affect another market. therefore, investigating the behavior of fluctuations in financial markets and their causes in financial asset pricing processes, implementation of global risk hedging strategies and asset portfolio preference decision- making is of great importance. given the importance of this issue, the current research aims to model energy and steel price volatility and experimentally test the spillover of fluctuations between markets using the garch bekk model, during a 10-year period of 2013-2022. the data of the current research were extracted from daily data from the world data bank, coin and currency information site, and economic and financial data banks; then, using the dickey-fuller and phillips-perron tests, the significance of the data was evaluated. after that, the spillover effect of fluctuations between the markets was tested using the univariate garch and garch bekk tests. the results of the research showed that the steel and energy markets have significant volatility in the studied period. also, the fluctuations in the oil and gas market are significantly transferred to the global steel price.