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Intraday volatility transmission among precious metals, energy and stocks during the COVID-19 pandemic

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  • Farid, Saqib
  • Kayani, Ghulam Mujtaba
  • Naeem, Muhammad Abubakr
  • Shahzad, Syed Jawad Hussain

Abstract

In this study, we present the evidence of dramatic changes in the structure and time-varying patterns of volatility connectedness across equities and major commodities (oil, gold, silver and natural gas) in the US economy before and during the COVID-19 outbreak. We utilize high frequency 5-min trading data of most actively traded US ETFs to construct the volatility connectedness network. We compute the intraday volatility estimates using MCS-GARCH model and then employ Diebold and Yilmaz (2012) spillover index approach to approximate volatility spillovers between the financial markets. Our main findings showcase significant impact of COVID-19 pandemic on the volatility linkages of financial markets as the volatility connectedness among the different assets peaked during the outbreak. Other findings and implications of the study are further discussed.

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  • Farid, Saqib & Kayani, Ghulam Mujtaba & Naeem, Muhammad Abubakr & Shahzad, Syed Jawad Hussain, 2021. "Intraday volatility transmission among precious metals, energy and stocks during the COVID-19 pandemic," Resources Policy, Elsevier, vol. 72(C).
    • Handle: RePEc:eee:jrpoli:v:72:y:2021:i:c:s030142072100115x
    DOI: 10.1016/j.resourpol.2021.102101
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