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Heterogeneous Responses of Energy and Non-Energy Assets to Crises in Commodity Markets

Author

Listed:
  • Dimitrios Vortelinos

    (Department of Accounting and Finance, Hellenic Mediterranean University, 71410 Heraklion, Greece)

  • Angeliki Menegaki

    (Department of Business Administration and Tourism, Hellenic Mediterranean University, 71410 Heraklion, Greece)

  • Ioannis Passas

    (Department of Business Administration and Tourism, Hellenic Mediterranean University, 71410 Heraklion, Greece)

  • Alexandros Garefalakis

    (Department of Business Administration and Tourism, Hellenic Mediterranean University, 71410 Heraklion, Greece)

  • Georgios Viskadouros

    (Department of Electrical and Computer Engineering, Hellenic Mediterranean University, 71410 Heraklion, Greece)

Abstract

In this study, we investigate the heterogeneity in energy and non-energy commodities by analyzing their four realized moments: returns, realized volatility, realized skewness and realized kurtosis. Utilizing monthly data, we examine two commodity categories over various crisis periods. This study examines a comparative approach to descriptive statistics across different crisis periods and the full sample and assesses the out-of-sample significance of heteroscedasticity using GARCH models. The findings reveal significant heterogeneity in both energy and non-energy commodities, with energy commodities exhibiting higher average returns and volatility. Crisis periods markedly influence the statistical properties of these commodities. GARCH models outperform ARMA models in forecasting realized moments, particularly for non-energy commodities. This research contributes to the literature by providing robust evidence of heterogeneity in commodity markets and highlights the importance of considering all four realized moments in such analyses.

Suggested Citation

  • Dimitrios Vortelinos & Angeliki Menegaki & Ioannis Passas & Alexandros Garefalakis & Georgios Viskadouros, 2024. "Heterogeneous Responses of Energy and Non-Energy Assets to Crises in Commodity Markets," Energies, MDPI, vol. 17(21), pages 1-25, October.
    • Handle: RePEc:gam:jeners:v:17:y:2024:i:21:p:5438-:d:1511233
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