Modelling Time Varying Volatility Spillovers and Conditional Correlations Across Commodity Metal Futures

34 Pages Posted: 1 Oct 2015 Last revised: 22 Sep 2021

See all articles by Menelaos Karanasos

Menelaos Karanasos

Brunel University London - Economics and Finance

Faek Menla Ali

University of Sussex

Zannis Margaronis

Brunel University London

R. Nath

Brunel University London

Date Written: October 17, 2017

Abstract

This paper examines how the most prevalent stochastic properties of key metal futures returns have been affected by the recent financial crisis using both mapped and unmapped data. Our results suggest that copper and gold futures returns exhibit time-varying persistence in their corresponding conditional volatilities over the crisis period; in particular, such 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 crisis. Our results, which are broadly the same in relation to the use of mapped or unmapped data, suggest that the volatilities of copper and gold are inherently linked, although these metals have very different applications.

Keywords: Financial Crisis, Metal Futures, Structural Breaks, Time-Varying Volatility

JEL Classification: C32, Q02

Suggested Citation

Karanasos, Menelaos and Menla Ali, Faek and Margaronis, Zannis and Nath, R., Modelling Time Varying Volatility Spillovers and Conditional Correlations Across Commodity Metal Futures (October 17, 2017). International Review of Financial Analysis, Forthcoming, Available at SSRN: https://ssrn.com/abstract=2667787

Menelaos Karanasos (Contact Author)

Brunel University London - Economics and Finance ( email )

Uxbridge UB8 3PH
United Kingdom

Faek Menla Ali

University of Sussex ( email )

University of Sussex
Brighton, East Sussex BN1 9SL
United Kingdom

Zannis Margaronis

Brunel University London ( email )

Kingston Lane
Uxbridge, Middlesex UB8 3PH
United Kingdom

R. Nath

Brunel University London

Kingston Lane
Uxbridge, Middlesex UB8 3PH
United Kingdom

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