Modeling Dynamic Correlation and Volatility of the Visegrad Group Fuel Markets
Modeling Dynamic Correlation and Volatility of the Visegrad Group Fuel Markets

Summary/Abstract: The paper focuses on investigating the correlation and volatility of fuel markets in four countries of the Viseg-rad region, namely Hungary, the Czech Republic, Poland, and Slovakia. The primary objective of the paper isto explore regional fuel markets and retail prices in these countries by employing VAR models and Johansenprocedures to analyze the interrelationships between Visegrad fuel markets. Additionally, the paper uses mul-tivariate dynamic conditional GARCH (DCC GARCH-M) models to examine the volatility and covariance of fuelprices in these nations. The results of the study indicate that there are no long-term connections betweenVisegrad gasoline prices. The performance of the domestic price is independent of other markets. The researchalso shows long-term relations of diesel prices only among some countries. Overall, the size of these relationsis small and mostly statistically insignificant. These findings provide valuable insights into the fuel markets ofthe Visegrad countries and can be useful in formulating policies related to energy and fuel price regulation.Overall, the study contributes to the literature on fuel markets in the Visegrad region and provides policymak-ers and stakeholders with essential information necessary for making informed decisions.

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