Integration and risk transmission in the market for crude oil: A time-varying parameter frequency connectedness approach

Table 2: Averaged Connectedness Table

data("cgg2022")
partition = c(pi+0.00001, pi/5, 0)
dca = ConnectednessApproach(cgg2022, 
                            model="TVP-VAR",
                            connectedness="Frequency",
                            nlag=1,
                            nfore=100,
                            window.size=200,
                            VAR_config=list(TVPVAR=list(kappa1=0.99, kappa2=0.99, prior="BayesPrior")),
                            Connectedness_config = list(
                              FrequencyConnectedness=list(partition=partition, generalized=TRUE, scenario="ABS")
                            ))

## Estimating model

## Computing connectedness measures

## The TVP-VAR frequency connectedness approach is implemented according to:
##  Chatziantoniou, I., Gabauer, D., & Gupta, R. (2021). Integration and Risk Transmission in the Market for Crude Oil: A Time-Varying Parameter Frequency Connectedness Approach (No. 202147).

kable(dca$TABLE)

	Europe.1-5	USA.1-5	Dubai.1-5	Malaysia.1-5	Africa.1-5	OPEC.1-5	FROM.1-5	Europe.5-Inf	USA.5-Inf	Dubai.5-Inf	Malaysia.5-Inf	Africa.5-Inf	OPEC.5-Inf	FROM.5-Inf
Europe	25.33	5.13	8.47	2.23	19.87	8.21	43.92	8.58	3.79	4.61	1.59	7.66	4.52	22.17
USA	6.37	33.51	10.82	2.10	5.73	8.19	33.21	3.85	13.32	5.95	1.78	4.04	4.32	19.95
Dubai	9.77	10.08	28.46	2.71	9.08	5.77	37.41	4.84	6.23	11.47	2.04	5.25	4.31	22.66
Malaysia	4.75	7.75	7.01	34.90	4.35	6.19	30.05	3.93	4.88	5.10	11.92	4.26	4.96	23.12
Africa	20.09	4.42	7.77	1.79	27.13	7.94	42.01	7.28	3.67	4.30	1.44	9.64	4.53	21.22
OPEC	8.84	8.57	7.49	3.98	8.41	25.61	37.28	5.46	6.21	5.92	2.68	5.88	10.96	26.15
TO	49.81	35.94	41.56	12.82	47.44	36.31	223.88	25.36	24.78	25.88	9.52	27.10	22.63	135.27
Inc.Own	75.15	69.45	70.02	47.72	74.57	61.92	cTCI/TCI	33.95	38.10	37.35	21.45	36.73	33.59	cTCI/TCI
Net	5.90	2.73	4.15	-17.23	5.43	-0.97	44.78/37.31	3.20	4.83	3.21	-13.60	5.88	-3.52	27.05/22.55
NPDC	5.00	2.00	3.00	0.00	4.00	1.00		4.00	3.00	2.00	0.00	5.00	1.00

Figure 3: Dynamic Total Connectedness

PlotTCI(dca, ylim=c(0,100))

Figure 4: Net Total Directional Connectedness

PlotNET(dca, ylim=c(-60,60))

Figure 5: Net Pairwise Directional Connectedness

PlotNPDC(dca, ylim=c(-30,30))