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Volatility behavior of oil, industrial commodity and stock markets in a regime-switching environment

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  • Choi, Kyongwook
  • Hammoudeh, Shawkat

Abstract

This study supplements previous regime-switching studies on WTI crude oil and finds two possible volatility regimes for the strategic commodity prices of Brent oil, WTI oil, copper, gold and silver, and the S&P 500 index, but with varying high-to-low volatility ratios. The dynamic conditional correlations (DCCs) indicate increasing correlations among all the commodities since the 2003 Iraq war but decreasing correlations with the S&P 500 index. The commodities also show different volatility persistence responses to financial and geopolitical crises, while the S&P 500 index responds to both financial and geopolitical crises. Implications are discussed.

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Bibliographic Info

Article provided by Elsevier in its journal Energy Policy.

Volume (Year): 38 (2010)
Issue (Month): 8 (August)
Pages: 4388-4399

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Handle: RePEc:eee:enepol:v:38:y:2010:i:8:p:4388-4399

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Web page: http://www.elsevier.com/locate/enpol

Related research

Keywords: Commodities Volatility Regime switching;

References

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