persistence increases during periods of high volatility compared with low volatility. The estimation of a bivariate GARCH model … further shows the existence of time-varying volatility spillovers between these returns during the different stages of such a …

We study volatility spillovers among commodity and equity markets by employing a recently developed approach based on …-autoregressions. This enables us to measure total, directional and net volatility spillovers as well as the asymmetry of responses to … global financial crisis of 2008. Our empirical analysis reveals that on average, the volatility shocks related to other …

volatility of these commodities. The daily returns of Brent, gold and silver from 8 April 1999 to 7 April 2009 are employed to … model the volatility and volatility spillovers across markets. The univariate conditional volatility models suggest that … there is time-varying volatility in all assets. Moreover, asymmetry is observed in the Brent and gold markets. For …

return and volatility spillover between the S&P 500 and 12 Asian stock markets using weekly data from January 2000 to … February 2020. DECO-GARCH models are employed to measure volatility transmission between markets. A generalized VAR, variance … the interdependence of the conditional returns, conditional volatility, and conditional correlations between the stock …

We analyse the dynamic behavior of conditional volatility in commodity markets using a novel, manually collected … dataset of daily price ranges over a time span of more than 140 years, which allows more precise daily volatility estimates … not adequate to capture the very distinct long-run and short-run dynamic volatility components. While the long memory …

metal price series is investigated, as well as time-varying volatility. The results demonstrate that allowing for jumps and … time-varying volatility provides statistically important improvements in the modelling or prices, relative to GBM. These …

This is the first comprehensive study on the forecasting of the realized volatility of non-ferrous metal futures. Based … volatility series of aluminum is most useful in enhancing the accuracy of forecasts for other metals. While consistently …