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Volatility returns with vengeance: Financial markets vs. commodities

Author

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  • Sofiane Aboura

    (DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris sciences et lettres - CNRS - Centre National de la Recherche Scientifique)

  • Julien Chevallier

    (UP8 - Université Paris 8 Vincennes-Saint-Denis)

Abstract

To assess how financial markets and commodities are inter-related, this paper introduces a ‘volatility surprise' component into the asymmetric DCC with one exogenous variable (ADCCX) framework. We develop an econometric model in which returns and volatility allow to influence pairs of assets, and derive several case studies linking commodities to stocks, bonds and currencies from 1983 to 2013. The innovative feature of our model is that these volatility spillovers are modeled consistently within the correlation dynamics of the ADCCX model. We find evidence that return and volatility spillovers do exist between commodity and financial markets and that in turn, their relative impact on each other is very substantial.

Suggested Citation

  • Sofiane Aboura & Julien Chevallier, 2015. "Volatility returns with vengeance: Financial markets vs. commodities," Post-Print hal-01529747, HAL.
    • Handle: RePEc:hal:journl:hal-01529747
    DOI: 10.1016/j.ribaf.2014.04.003
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    More about this item

    Keywords

    Volatility spillovers; Financial Markets; Commodities; ADCCX; Bonds; Stocks;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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