Modeling dynamic correlation and volatility of the Visegrad Group fuel markets

The paper focuses on investigating the correlation and volatility of fuel markets in four countries of the Visegrad region, namely Hungary, the Czech Republic, Poland, and Slovakia. The primary objective of the paper is to explore regional fuel markets and retail prices in these countries by employing VAR models and Johansen procedures to analyze the interrelationships between Visegrad fuel markets. Additionally, the paper uses multivariate dynamic conditional GARCH (DCC GARCH-M) models to examine the volatility and covariance of fuel prices in these nations. The results of the study indicate that there are no long-term connections between Visegrad gasoline prices. The performance of the domestic price is independent of other markets. The research also shows long-term relations of diesel prices only among some countries. Overall, the size of these relations is small and mostly statistically insignificant. These findings provide valuable insights into the fuel markets of the 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 policymakers and stakeholders with essential information necessary for making informed decisions.