Volatility Spillover Effect in Commodity Derivatives Market: Empirical Evidence Through Generalized Impulse Response Function

Bhabani Sankar Rout, Nupur Moni Das and K. Chandrasekhara Rao

Vision, 2019, vol. 23, issue 4, 374-396

Abstract: The present work is specifically directed to examine the volatility spillover mechanism in Indian commodity derivatives market. It has especially focused on comparing the agricultural and metal commodity segment by considering five agri-commodities and five metal commodities. The study period taken is 2010–2015 for understanding the mechanism between the spot and the futures commodity markets. Generalized impulse response function is mainly used to check the magnitude of volatility spill, pattern of volatility and lead–lag relationship. The result shows metal commodities are more prominent and investment worthy than agricultural commodities.

Keywords: Volatility Pattern; Lead–Lag Relationship; Influential Direction; Generalized Impulse Response Function; Volatility Spillover (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:sae:vision:v:23:y:2019:i:4:p:374-396

DOI: 10.1177/0972262919850916

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