Forecasting energy market volatility using GARCH models: Can multivariate models beat univariate models?

► Multivariate GARCH models display better performance than univariate models in forecasting energy price volatility. ► The use of refined product can largely reduce the uncertainty of crude oil price. ► Univariate GARCH models display better performance than multivariate models in forecasting crack spread volatility. ► The use of superior predictive ability test (SPA) to evaluate forecasting performance of GARCH-class models.