Volatility behavior of oil, industrial commodity and stock markets in a regime-switching environment

Kyongwook Choi and Shawkat Hammoudeh

Energy Policy, 2010, vol. 38, issue 8, 4388-4399

Abstract: This study supplements previous regime-switching studies on WTI crude oil and finds two possible volatility regimes for the strategic commodity prices of Brent oil, WTI oil, copper, gold and silver, and the S&P 500 index, but with varying high-to-low volatility ratios. The dynamic conditional correlations (DCCs) indicate increasing correlations among all the commodities since the 2003 Iraq war but decreasing correlations with the S&P 500 index. The commodities also show different volatility persistence responses to financial and geopolitical crises, while the S&P 500 index responds to both financial and geopolitical crises. Implications are discussed.

Keywords: Commodities; Volatility; Regime; switching (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (258)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:enepol:v:38:y:2010:i:8:p:4388-4399

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