Due to the fundamental position of energy, the dynamics of the energy ETF markets are of great interest when facing unexpected event shocks. To explore the volatility spillovers within the energy ETF market and with other related markets under event shocks, we use the PCA method to extract macroeconomic factor series (ME) from four types of ETF return series. Then, we apply the DCC-GARCH-Copula model to analyze the dynamic correlation between the energy EFTs and the MEs as well as the related ETFs. Finally, the TVP-VAR-DY index is used to explore the spillover relationship between these markets in terms of spillover impact. The findings suggest that the clean energy ETFs have a greater volatility pass-through to real estate, while the volatility pass-through of energy ETFs to gold is stronger in all cases. Total connectivity in these markets exhibits different performances at different stages during the sample period, reaching its peak during the global COVID-19. These findings support investors to adjust their asset portfolios in a timely manner in the face of shocks while helping regulators strategize more effectively.

中文翻译：

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能源相关ETF之间的动态依赖性和溢出效应：从对冲有效性的角度来看


由于能源的基本面地位，当面临意外事件冲击时，能源 ETF 市场的动态备受关注。为了探讨事件冲击下能源ETF市场以及与其他相关市场的波动溢出效应，我们使用PCA方法从四种类型的ETF收益序列中提取宏观经济因子序列（ME）。然后，我们应用DCC-GARCH-Copula模型来分析能源EFT与ME以及相关ETF之间的动态相关性。最后，利用TVP-VAR-DY指数从溢出影响方面探讨这些市场之间的溢出关系。研究结果表明，清洁能源 ETF 对房地产的波动性传递更大，而能源 ETF 对黄金的波动性传递在所有情况下都更强。这些市场的总连接性在样本期间的不同阶段表现出不同的表现，在全球 COVID-19 期间达到顶峰。这些发现支持投资者在面临冲击时及时调整资产组合，同时帮助监管机构更有效地制定策略。