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This study investigates the role of VIX in determining the returns and return volatilities of oil, heating oil, gasoline, and natural gas. A double threshold GARCH(1,1) methodology is utilized where the VIX index is used as the threshold regime change indicator. Daily data from January 4, 1999, to December 31, 2013, are used. A sub-period analysis covering only the financial crisis period of January...
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