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Volatility Transmission in Crude Oil, Gold, Standard and Poor s 500 and US Dollar Index Futures using Vector Autoregressive Multivariate Generalized Autoregressive Conditional Heteroskedasticity Model

Author

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  • Tanattrin Bunnag

    (Faculty of Science and Social Sciences, Burapha University, Thailand.)

Abstract

This paper examined volatility transmission in the crude oil, gold, S and P 500 and US Dollar Index futures. The data used in this study was the daily data from 2010 to 2015. The four vector autoregressive (VAR)-multivariate generalized autoregressive conditional heteroskedasticity models, namely the VAR (2)-diagonal VECH, the VAR (2)-diagonal Baba, Engle, Kraft and Kroner (BEKK), the VAR (2)-constant conditional correlations (CCC) and the VAR (2)-dynamic conditional correlation (DCC), were employed. The empirical results showed that the estimates of the VAR (2)-diagonal BEKK parameters were statistically significant in all cases. Later, the VAR (2)-diagonal VECH parameter were statistically significant in case of returns of crude oil (RCRUDE) with returns of gold futures (RGOLD), RGOLD with returns of Standard and Poor s 500 (S and P 500) futures (RSP) and RSP with returns of US Dollar Index (RUSD). At the same time the VAR (2)-CCC parameters were statistically significant in only case of RCRUDE with RGOLD. Finally, the VAR (2)-DCC were statistically significant in case of RCRUDE with RGOLD, RGOLD with RSP, RGOLD with RUSD and RSP with RUSD. In addition, we could conclude that the crude oil futures volatility was having an impact on the gold futures volatility, the gold futures volatility was having an impact on S and P 500 futures volatility, the gold futures volatility was having an impact on US Dollar Index futures volatility and S and P 500 futures volatility was having an impact on US Dollar Index futures volatility

Suggested Citation

  • Tanattrin Bunnag, 2016. "Volatility Transmission in Crude Oil, Gold, Standard and Poor s 500 and US Dollar Index Futures using Vector Autoregressive Multivariate Generalized Autoregressive Conditional Heteroskedasticity Model," International Journal of Energy Economics and Policy, Econjournals, vol. 6(1), pages 39-52.
    • Handle: RePEc:eco:journ2:2016-01-07
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Volatility Transmission; crude oil futures; gold futures; S&P 500 futures; US Dollar Index futures; VAR-MGARCH;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • 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
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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