Volatility spillover between water, energy and food.

摘要: Water, energy, and food are strongly interconnected, the sustainability of whole world depends on this link. The aim article is to analyze volatility spillovers between indexes representing financial component nexus. We use a multivariate Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model with daily data in which water variable proxy by equity index that represents performance industry involved business both at global local levels. For energy sectors, we two sub-indexes S&P Goldman Sachs (GS)-Commodity Index. Our results highlight existence nexus water, was particularly exacerbated during 2008 crisis. Evidence therefore suggests need better investigate policy options can be used reduce price framework rising relevance issues.