This paper investigates the conditional correlations and volatility spillovers between crude oil returns and stock … empirical results from the VARMA-GARCH and VARMA-AGARCH models provide little evidence of volatility spillovers between the …

This paper evaluates how different types of speculation affect the volatility of commodities' futures prices. We adopt … short term speculation. We consider four energy commodities (light sweet crude oil, heating oil, gasoline and natural gas …) and seven non-energy commodities (cocoa, coffee, corn, oats, soybean oil, soybeans and wheat) over the period 1986 …

Autoregressive Conditionally Heteroskedastic (fGARCH) model were applied to study the volatility of the Autoregressive Fractionally …