This study investigates the price volatility of metals, using the GARCH and GJR models. First we examine the … persistence of volatility and the leverage effect across metal markets taking into account the presence of outliers, and second we … estimate the effects of oil price shocks on the price volatility of metals, allowing for the asymmetric responses. We use daily …

airline stock prices. Overall, these findings are contrary to the general perception that higher oil prices or oil volatility … volatility and oil regimes determined by the globally significant events/shocks. …

This study investigates the effects of oil price shocks on volatility of selected agricultural and metal commodities … functions, the response of volatility of each commodity to an oil price shock differs significantly depending on the underlying …

This study provides analytical insight on modelling macroeconomic and oil price volatility in Nigeria. Mainly, the … GARCH - M); and oil price is a major source of macroeconomic volatility in Nigeria. By implication, the Nigerian economy is … vulnerable to both internal shocks (interest rate volatility, real GDP volatility) and external shocks (exchange rate volatility …