Available online at www.sciencedirect.

com
ScienceDirect

Energy Reports xxx (xxxx) xxx

www.elsevier.com/locate/egyr

6th International Conference on Advances on Clean Energy Research, ICACER 2021 April
15–17, 2021, Barcelona, Spain

Time-varying co-movement analysis between COVID-19 shocks and

the energy markets using the Markov Switching Dynamic Copula
approach
Paravee Maneejuk, Sukrit Thongkairat, Wilawan Srichaikul ∗
Center of Excellence in Econometrics, Faculty of Economics, Chiang Mai University, Chiang Mai 50200, Thailand
Received 18 May 2021; accepted 30 May 2021
Available online xxxx

Abstract
The spread of the COVID-19 pandemic in 2020 has contributed a large impact on various economic sectors and the energy
sector is no exception. In this paper, we analyze the time-varying correlation between COVID-19 shocks (positive and negative)
and energy markets (natural gas, gasoil, heating oil, coal, and crude oil) in the time-varying environment. This study adds to
the literature by implementing the Markov-switching dynamic copula with Student-t distribution to explore the unexpected
COVID-19 pandemic shock effects on energy markets. Our results revealed that (i) there is evidence of correlation between
COVID-19 shocks and all energy markets; (ii) the contributions of COVID-19 shocks on energy markets are not constant along
2020. (iii), there is evidence of a similar response of the energy markets to the positive and negative COVID-19 shocks.
⃝c 2021 The Authors. Published by Elsevier Ltd. This is an open access article under the CC BY-NC-ND license
(http://creativecommons.org/licenses/by-nc-nd/4.0/).
Peer-review under responsibility of the scientific committee of the 6th International Conference on Advances on Clean Energy Research, ICACER
2021.

Keywords: Co-movement; COVID-19 shock; Energy markets; Markov Switching Dynamic Copula-based approach

1. Introduction
The coronavirus (COVID-19) pandemic has played a major impact on energy systems worldwide, contributing
a large drop in the energy prices due to the lockdown policies implemented in many countries. Millions of people
have quarantined in their homes and economic activities such as industrial, commercial, and tertiary activities are
falling. According to the International Energy Agency [1], they expected that demand of the global energy will
decrease by 5% to 10% in 2020 when compared to 2019. Many studies indicated that the COVID-19 could impact
on the power sector in both short run and long run. In the short term, COVID-19 will negatively affect new energy
investments in all sectors. In the long run, the impact becomes more uncertain and much hinder the economic
recovery [2]. Not only the COVID-19 pandemic has changed the demand for energy resources, but it also impacted
∗ Corresponding author.
E-mail address: srichaikul.w@gmail.com (W. Srichaikul).

https://doi.org/10.1016/j.egyr.2021.05.076
2352-4847/⃝ c 2021 The Authors. Published by Elsevier Ltd. This is an open access article under the CC BY-NC-ND license (http:
//creativecommons.org/licenses/by-nc-nd/4.0/).
Peer-review under responsibility of the scientific committee of the 6th International Conference on Advances on Clean Energy Research,
ICACER 2021.
Please cite this article as: P. Maneejuk, S. Thongkairat and W. Srichaikul, Time-varying co-movement analysis between COVID-19 shocks and the energy markets using the Markov
Switching Dynamic Copula approach. Energy Reports (2021), https://doi.org/10.1016/j.egyr.2021.05.076.
P. Maneejuk, S. Thongkairat and W. Srichaikul Energy Reports xxx (xxxx) xxx

their supply [3]. Although the fact of the reduction of overall energy demand is obvious, the response of energy
prices to the COVID-19 shocks are complicated and ambiguous.
Since the advent of the COVID-19 pandemic in January 2020, its impact on energy sectors have been discussed
by several studies. Fu and Shen [4] employed the linear regression model to examine the impact of COVID-19 on
the performance in the energy industry and found that COVID-19 shows a significant negative effect on the energy
sectors. Moreover, Dutta et al. [5] observed that the COVID-19 outbreak contributes substantial negative effects on
international crude oil markets. Baldwin and Weder [6] explained that COVID-19 directly reduce the demand of
energy and thereby leading to lower global energy prices. However, Hauser et al. [7] mentioned that the impact of
COVID-19 pandemics on energy resources is heterogeneous and found that the effect of COVID-19 on coal price is
weak. Similar findings are reported by Nyga-Łukaszewska and Aruga [3]. They investigated the impact of pandemic
on oil and gas in the US and Japan. The Auto-Regressive Distributive Lag (ARDL) approach was utilized to the
number of the US and Japanese COVID-19 cases and energy prices and the results showed that the pandemic had
a statistically negative impact on the Japanese and US crude oil markets, but it had positively affected the gas price
in the US.
According to the above literature, the inconclusive impact of COVID-19 on energy markets is observed. Some
studies indicated that COVID-19 has a positive impact on gas market, some studies argued that there is no significant
contribution of COVID-19 to coal market, and other studies mentioned that there is a negative effect of COVID-19
on oil markets. Since previous studies did not reach a consistent conclusion, we doubt that the impact of COVID-19
on energy markets may generally be nonlinear and time-varying.
Therefore, the present paper is the first endeavor to capture the nonlinear and time-varying relationship between
COVID-19 shocks and the energy markets. By doing so, we employ the Markov Switching Dynamic Copula
(MSDC) (Da Silva Filho et al. [8]; Fei et al. [9]; Lin and Wu [10]; Pastpipatkul et al. [11,12]). In addition, we also
contribute the literature by decomposing the COVID-19 into positive and negative shocks as this permit measuring
whether the energy markets react in different ways to the world COVID-19 case increases (positive shock) or
decreases (negative shock). Specifically, we intend to explore the relationship between COVID-19 shocks (positive
and negative shocks) and energy markets, namely, Natural gas, Gasoil, Heating Oil, Coal, and crude oil). To the
best of our knowledge, this is the first attempt of investigating the relationship between the COVID-19 shocks and
energy markets in a time-varying and nonlinear environment. The obtained results will reveal some rather important
findings that have not been reported previously.
This remainder of the paper is organized as follows. Section 2 describes the methodology, Section 3 empirical
results. In Section 4, we present our conclusions.

2. Methodology

2.1. Generalized autoregressive conditional heteroskedasticity (GARCH)

GARCH is extensively used as the volatility modeling in the finance literature. The model is generalized by
Bollerslev [13] to quantify the conditional volatility of the data series. Bollerslev [13] developed this model as an
extension of the ARCH model of Engle [14] by adding the lag of conditional variance into the ARCH model. The
GARCH ( p, q) is defined as
yt = c + εt , (1)
q p
∑ ∑
σt2 = α0 + αi εt−i
2
+ β j σt−
2
j, (2)
i=1 j=1

where p is the order of the GARCH terms σt− 2

j and q is the order of the ARCH terms εt− j . Recently, Hansen [15]
2

and Fernández and Steel [16] suggested using skewed-t distribution as the distribution of the standardized residuals
to describe the tail behavior and asymmetric relationship in financial series. Thus, z t ∼ S K ST (0, 1, ξ, v) becomes
the density function of GARCH( p, q), where z t = εt /σt , ξ is a skew parameter which is positive and describes the
degree of asymmetry, v is the degree of freedom.
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2.2. Bivariate copula

Copula is a multivariate joint distribution function which describes the dependence structure between the
variables. This approach is introduced and described by Sklar’s theorem [17]. In the bivariate case, let F1 (x1 ) and
F2 (x2 ) be the marginal distributions of the random series x1 (COVID shocks) and x2 (energy sector). Thus, the joint
distribution of these two series can be written as H (x1 , x2 ) = C(F1 (x1 ), F2 (x2 )) = C(u 1 , u 2 ) where u 1 and u 2 are
uniform in the [0,1] interval, C is a copula function. The Student-t copula density function can be written as
}− v+2
θ −1 (x′ x)
{
Γ [(v + 2)/2] 2
c(x|θ ) = ⏐ 1+ , (3)
Γ (v/2)(vπ) θ v
⏐
2 ⏐ 1/2 ⏐
where, v is the degree of freedom parameter, Γ is the gamma function, and x = {x1 , x2 }.

2.3. Markov switching dynamic copula

As structural change might exist differently in financial time-series, the dependence between different financial
series might not be stable overtime. Fei et al. [9] extended the time-varying copula or dynamic copula of Patton
[18] to allow for the structural change in the dynamic dependence (θt ). Thus, they proposed the Markov-Switching
Dynamic Copula (MSDC) model. The dependence parameter is governed by the unobserved state variable at time
t (St ) and the time-varying dependence parameter is formulated by the ARMA (1,10) process as
10
1 ∑ −1
θt = ∧(ω0 (St ) + ω1 (St )θt−1 + ω2 (St ) F (u 1,t− j )F2−1 (u 2,t− j )) (4)
10 j=1 1

where ω0 , ω1 and ω2 are estimated parameters. ∧(a) = 1 − exp(−a)(1 + exp(−a))−1 . In this study, the two-regime
model is assumed, St ∈ {0, 1}, where St = 0 denotes the high dependence regime and St = 1 denotes the low
dependence regime. The unobserved variable is governed by the first-order Markov chain, which is characterized
by the transition probabilities (P)
2
∑
pi j = Pr(St = j |St−1 = 1 ) and pi j = 1 i, j = 1, 2 (5)
j=1

where pi j is the probability of switching from regime i to regime j and these transition probabilities can be formed
in transition matrix P as follows,
[ ]
p11 1 − p11
P= (6)
1 − p22 p22
To estimate the MSDC parameters, we use the inference function for margins (IFM) method. Furthermore,
the estimation of this model also requires inferences on the probabilistic evolution of the state variable St . These
probability estimates or filtered probabilities are estimated by the Hamilton’s filter [19]. The filtering procedures
can be found in Da Silva Filho et al. [8], and Fei et al. [9].

3. Empirical results
Our data set consists of daily number of new confirmed global COVID-19 cases and energy resource prices,
namely, Natural gas, Gasoil, Heating Oil, Coal, and Brent crude oil covering the period from Dec 29, 2019 to
Dec 30, 2020. The number of daily new confirmed cases of COVID-19 is collected from ’Our world in data’ (htt
ps://ourworldindata.org/grapher/daily-cases-COVID-19), while the energy prices are obtained from the Bloomberg
database. We consider the Brent crude oil price to reflect the international oil market since the Brent crude oil price
is commonly used as the oil price benchmark. All data are converted into the growth form, such that the series
obtained corresponds to growth rate of energy prices and global COVID-19 cases.
According to Table 1, we observe that the average energy returns are negative for the Brent crude, Gasoil,
and Heating Oil but the returns of Natural gas, and Coal are positive, while the average of COVID-19 growth is
positive. Moreover, the COVID-19 growth shows the highest average growth of 0.0084 and standard deviation of
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0.664. COVID-19, Coal, and Natural gas experience positive skewness, while the rest of energy returns are negative
over the periods of COVID-19 pandemic. This indicates that energy markets perform different during this pandemic
crisis. The Jarque–Bera test clearly rejects the null normality hypothesis for all series, implying that the observed
variables are skewed and far from normally distributed. We then use the Augmented Dickey–Fuller (ADF) test
to examine the stationarity of the data series, and the result indicates that all data series are strongly stationary
(Table 2). The Phillips–Perron test, like the ADF, is also used to analyze stationarity, but it is more robust in terms
of undefined autocorrelation and heteroscedasticity in the disturbance phase of the test equation. The result still
confirms that all data series are stationary (Table 2).

Table 1. Data description and preliminary statistics.

Crude oil Natural Gas oil Heating Coal COVID
gas oil
Average −0.0001 0.0010 −0.0007 −0.0005 0.0008 0.0834
Standard deviation 0.0370 0.0362 0.0313 0.0304 0.0142 0.6640
Skewness −0.7530 1.1900 −0.2780 −0.7400 0.1120 8.5400
Kurtosis 14.9000 6.3100 6.9700 7.4800 8.4700 82.4000
Jarque–Bera test 3190.3 643.03 690.14 821.47 1013.4 100,412
MBF 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000
Note: MBF is maximum Bayes factor which indicates the probability of accepting the null hypothesis. Note that this statistical value is the
alternative to the conventional p-value [20].

Table 2. Unit root test results.

Variable ADF test PP test
None Intercept Trend and intercept None Intercept Trend and intercept
−16.6385 −16.6146 −16.6774 −309.2165 −309.2143 −308.4586
Crude oil
(0.0000) (0.0000) (0.0000) (0.0000) (0.0000) (0.0000)
−18.5553 −18.5440 −18.5760 −308.2807 −307.9525 −307.2172
Natural gas
(0.0000) (0.0000) (0.0000) (0.0000) (0.0000) (0.0000)
−19.2934 −19.2745 −19.4551 −361.4915 −361.3406 −358.0326
Gasoil
(0.0000) (0.0000) (0.0000) (0.0000) (0.0000) (0.0000)
−17.612 −17.5907 −17.7461 −338.2087 −338.1692 −336.4772
Heating oil
(0.0000) (0.0000) (0.0000) (0.0000) (0.0000) (0.0000)
−16.0103 −16.0297 −16.2178 −297.6298 −297.4514 −296.4660
Coal
(0.0000) (0.0000) (0.0000) (0.0000) (0.0000) (0.0000)
−18.5845 −18.8534 −19.2474 −435.4845 −435.1288 −432.7399
COVID
(0.0000) (0.0000) (0.0000) (0.0000) (0.0000) (0.0000)
Note: ( ) denotes that MBF value.

In this paper, we use the GARCH model to capture all the stylized facts of the growth of COVID-19 cases and
energy resource returns. As our data series are rejected the normal distribution, various distribution assumptions
for the GARCH model are considered (normal(NORM), student-t(STD), skewed student-t(SSTD), generalized
error distribution(GED), skewed generalized error distribution(SGED)). Table 3 shows the results of the Akaike
information criteria (AIC) of GARCH models. The results show that the SGED performs the best distribution for
crude oil; GED for Natural gas, Gasoil, Heating Oil, and Coal; and SSTD for COVID-19.
The results of the best GARCH models is presented in Table 4. The results shows that the estimated parameters of
GARCH(1,1) are mostly significant, in particular the GARCH effect (β1 ) and the ARCH effect (α1 ). This indicates a
strong evidence of the high volatility persistence of COVID-19 and the global energy markets during the COVID-19
pandemic. As this study aims to decompose the positive and negative shocks of COVID-19, thus we quantify the
negative and positive COVID-19 shocks as follows
COVIDshockt(+) = max(0, z tCOVID ) (7)
COVIDshockt(−) = min(0, z tCOVID ). (8)
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Table 3. Distribution selection.

Distribution Crude Natural Gasoil Heating Coal COVID
oil gas oil
NORM −4.3108 −3.7846 −4.3765 −4.489 −5.6498 −0.31508
SNORM −4.3319 −3.8066 −4.3817 −4.501 −5.6467 −0.40617
STD −4.6909 −4.0839 −4.6794 −4.7035 −6.1515 −0.80688
SSTD −4.6854 −4.0815 −4.674 −4.6983 −6.1499 −0.81445
GED −5.4358 −7.0784 −7.4051 −8.1752 −9.9455 −0.69066
SGED −6.6422 −5.7373 −6.5051 −6.2468 −8.2865 −0.69483
Note: the bold number indicates the lowest AIC value.

Table 4. Estimates of GARCH(1,1)-skewed-t model for each series.

Crude oil Natural gas Gasoil Heating oil Coal COVID
0.0001 0.0000 0.0005a 0.0000 0.0005a 0.0241a
µ
(0.0011) (0.0000) (0.0001) (0.0000) (0.0001) (0.0085)
0.0001 0.0000 0.0019a 0.0000 0.0019a 0.0063
α0
(0.0000) (0.0000) (0.0007) (0.0000) (0.0007) (0.0043)
0.1071a 0.0606a 0.0471 0.0606a 0.0471 0.0409
α1
(0.0379) (0.0252) (0.0296) (0.0252) (0.0296) (0.0312)
0.8919a 0.9032a 0.8738a 0.9032a 0.8738a 0.8026a
β1
(0.0523) (0.0415) (0.0344) (0.0415) (0.0344) (0.0686)
0.9864a 1.1805a
ξ
(0.0450) (0.0931)
2.3124a 0.4245a 0.7443a 0.4245a 0.7443a 2.5414a
ν
(0.1675) (0.0218) (0.0682) (0.0218) (0.0682) (0.4491)
Note: the parentheses ( ) denote standard error.
a Indicates a strong rejection of the null hypothesis according to the MBF inference.

Prior to presenting the results of the MSDC model, we investigate the goodness of fit of the selected Student-
t copula by comparing it with the Gaussian copula. In this comparison, we also use the AIC to compare the
performance of Student-t copula and Gaussian copula. The results are provided in Table 5. It shows that Student-
t MSDC outperforms Gaussian MSDC in all pairs. (negative COVID-19 shock-energy resources and positive
COVID-19 shock-energy resources).

Table 5. Akaike information criterion (AIC) as a tool for model selection.

Crude oil Natural gas Gasoil Heating oil Coal
C O V I Dshockt(+) −214.1618 −412.6911 −246.5808 −193.5672 −164.2584
Gaussian
C O V I Dshockt(−) −73.33566 −379.786 −63.13543 −56.29697 −96.97249
C O V I Dshockt(+) −3453.641 −4351.252 −3433.86 −3105.588 −2492.386
Student-t
C O V I Dshockt(−) −2042.798 −2951.889 −2074.529 −2174.303 −1680.101

The estimation results of the Student-t MSDC for COVIDshockt(+) − E i (E i is an energy sources including crude
oil, Natural gas, Gasoil, Heating Oil, and Coal) pairs are shown in Table 6 while those for COVIDshockt(−) − E i pairs
are provided in Table 7. For regime 1 and regime 2, the ω0 (St ) parameters reflect the degree of interdependence
between variables in each pair; ω1 (St ) represent the degree of volatility persistence; and ω2 (St ) capture the
adjustment process of the dependence. Note that the higher values of ω0 (St ) parameters indicate the higher degree
of dependence between COVID-19 shocks and energy returns. From Tables 6 and 7, we can observe that the degree
of dependence in regime 1 is larger than in regime 2 for all cases, meaning that regime 1 is the high dependence
regime, while regime 2 is the low dependence regime. Moreover, when we compare the values of parameters in
Tables 5 and 6, the results are quite different, implying an asymmetric dependence between COVID-19 shocks
and global energy returns. Considering the probability of staying in the high dependence regime p11 and the low
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Table 6. Parameter estimates for Student’s t MSDC model for C O V I Dshockt(+) − E i .

Parameter Brent crude Natural gas Gasoil Heating oil Coal
ω0 (St ) −20.8773 98.7418 −24.1793 −32.3724 25.6030
Regime 1 ω1 (St ) 6.1999 31.8017 4.9732 28.7208 14.6304
ω2 (St ) −2.8449 3.5524 −4.5952 −6.1374 4.2865
ω0 (St ) −76.3670 21.1078 −51.5458 −117.8584 12.8860
Regime 2 ω1 (St ) 65.1051 −16.3394 38.8803 106.8191 7.3025
ω2 (St ) −14.2841 −2.6778 −19.4312 −28.2504 2.2347
Transition probabilities matrix
p11 0.00 0.58 0.70 0.04 0.99
p22 0.99 0.46 0.99 0.99 0.00

Table 7. Parameter estimates for Student’s t MSDC model for C O V I Dshockt(−) − E i .

Parameter Brent crude Natural gas Gasoil Heating oil Coal
ω0 (St ) −14.2530 −36.3508 −13.1823 154.2104 35.0308
Regime 1 ω1 (St ) 9.2621 27.6577 7.6467 142.3234 21.3394
ω2 (St ) −1.5677 0.1122 −1.0831 17.0394 3.9648
ω0 (St ) −43.3550 −19.7865 −33.7307 7.5147 14.6277
Regime 2 ω1 (St ) 31.0700 5.3352 21.3448 −3.4748 8.1639
ω2 (St ) −4.7262 −0.4583 −2.7706 −7.4574 1.8199
Transition probabilities matrix
p11 0.00 0.99 0.00 0.45 0.99
p22 0.99 0.34 0.99 0.73 0.00

dependence regime p22 , it is evident that the probability of staying in the high dependence regime is high ( p22 > 0.8)
for the pairs of COVIDshockt(+) − RBrentCrude, COVIDshockt(+) − RGasoil, COVIDshockt(+) − RHeatingOil,
COVIDshockt(−) −RBrentCrude, COVIDshockt(−) −RGasoil, and COVIDshockt(−) −RHeatingOil while the probability
of staying in the low dependence regime is high ( p11 > 0.8) for the pairs of COVIDshockt(+) − RNaturalGas,
COVIDshockt(+) − RCoal, COVIDshockt(−) − RNaturalGas, and COVIDshockt(−) − RCoal. Our results confirm a
nonlinear dependence between COVID-19 shocks and energy sectors as both positive and negative COVID-19
shocks contribute a high dependence for all pairs. This indicates that the effect of COVID-19 on energy markets is
quite persistence.
We then investigate the tail dependence structure between COVID-19 shocks and energy returns on the time-
varying perspectives. This analysis allows us to investigate the nonlinear relationship between COVID-19 shocks and
energy returns occurred in the extreme events (such as√ a peak√number of COVID-19 cases periods). Our time-varying
tail dependency is determined from λt = 2tv+1 (− vt + 1 1 − θt /1 + θt ) and is depicted in Fig. 1 for positive
COVID-19 shock-energy return pairs and Fig. 2 for negative COVID-19 shock-energy returns. Some interesting
features are observed. Primarily we can observe that the tail dependences do not remain constant but instead they
vary over time. This finding confirms our expectation of time varying relationship between COVID-19 shocks
and energy markets. Furthermore, the tail dependences of all pairs fluctuate between 0.15 and 0.75, indicating the
contagion effect between COVID-19 shocks and energy markets. Nonetheless, over different periods, energy markets
appear to exhibit a radically different relationship with COVID-19 shocks, not just a slightly different one.
Moreover, for all pairs, these plots confirm that the tail dependences show similar patterns of evolution. This
is pretty clear when we compare across pairs. If we look deeper into the information shown in the graph of tail
dependencies, energy markets react similarly to positive shocks and negative shocks of COVID-19 as the time
varying magnitudes of dependences are similar. Specifically, all energy markets are sensitive to the shocks of
COVID-19 cases and the tail correlations between COVID-19 shocks and energy markets behave in a symmetric
way during pandemic periods. The possible explanation of this high sensitivity of energy markets is that they have
never experienced a crisis on the large scale of COVID-19, thus they cannot suddenly adjust themselves to this
severe crisis.
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Fig. 1. Absolute tail dependences between energy resources and positive COVID-19 shock.

Fig. 2. Absolute tail dependences between energy resources and negative COVID-19 shock.

4. Conclusion

This paper examines the dynamic correlation between COVID-19 shocks (positive and negative) and returns of
global energy resources covering the period from Dec 29, 2019 to Dec 30, 2020. We also investigate the presence
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P. Maneejuk, S. Thongkairat and W. Srichaikul Energy Reports xxx (xxxx) xxx

of the nonlinear dynamic dependence structure of these variables. In particular, we assume that there are two regime
changes corresponding to the low and the high dependence regimes.
The econometric approach adopted here is based on two steps. In the first step, we model the marginal
distributions using the GARCH model with the different distributions. In the second step, we focus on the
bivariate tail dependence structure between COVID-19 shocks and energy resource prices utilizing the Student-t
Markov-switching time-varying copula model.
An important empirical result of this study is the symmetric impacts of COVID-19 shocks on energy markets.
The results show that the correlations between COVID-19 shocks and energy markets are strong along the year of
2020. More precisely, this study also reveals that the relationships between the positive and negative COVID-19
shocks and energy markets are not constant over time and it varies along with the pandemic period We also find
that the energy markets behave similar responses to both positive and negative COVID-19 shocks. This indicates
that energy markets anxious over the COVID-19 pandemic.

Declaration of competing interest

The authors declare that they have no known competing financial interests or personal relationships that could
have appeared to influence the work reported in this paper.

Acknowledgment
The authors are grateful to the support from the Centre of Excellence in Econometrics, Chiang Mai University,
Thailand.

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