The central bank policy instruments have become less effective in an environment where economies are integrated with sophisticated financial products. We argue that economic stability is a function of interactions between financial and commodity markets. We utilize MGARCH models to identify...

This paper utilizes calculated historical volatility and GARCH models to compare the historical price volatility behavior of crude oil, motor gasoline and heating oil in U.S. markets since 1990. We incorporate a shift variable in the GARCH/TARCH models to capture the response of price volatility...