High-frequency volatility connectedness between the US crude oil market and China's agricultural commodity markets

This paper investigates the realised volatility connectedness of US crude oil futures and five China's agricultural commodity futures using connectedness measures and high-frequency data. Time-varying volatility connectedness characteristics are identified by combining a multivariate heteroscedastic autoregressive (HAR) model with the DCC-GARCH model. The results verify the existence of volatility spillover from the US crude oil market to China's agricultural commodity markets, although the magnitude of this spillover is weak. Furthermore, the realised volatility is decomposed into positive and negative components to identify the asymmetric effect of volatility connectedness. The results show that market interdependence has obviously increased for negative volatility relative to positive volatility, implying that volatility transmission has a leverage effect across markets.