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Revisiting natural resources volatility via TGARCH and EGARCH

Yunpeng Luan, Shili Ye, Yanmei Li, Lu Jia and Xiaoguang Yue ()

Resources Policy, 2022, vol. 78, issue C

Abstract: The natural resources commodity price volatility is one of the leading discussion issues, particularly in global issues. For instance, the global financial crisis and the Covid-19 pandemic have created uncertainties in global economic and financial markets. During the said events, the global economy disrupts the demand and supply chain of raw materials, natural resources, and energy across the globe, which is among the leading issues of price volatility in natural resources. Therefore, it is important to evaluate the volatility of natural resources, especially during these two periods. The current study, unlike previous studies, evaluates the volatility in crude oil prices while using the extended period from 2007 to 11-01 to 2020-11-16 from a global perspective. The empirical analyses are examined using exponential generalized autoregressive conditional heteroscedasticity and the threshold generalized autoregressive conditional heteroscedasticity methods. The estimated results of both approaches indicate the existence of volatility in natural resource commodity prices. Yet, the global financial crisis and Covid-19 pandemic periods exhibit higher volatilities than the rest of the overall period. Comparatively, natural resources commodity price volatility in the Covid-19 pandemic surpasses the volatility than that of the global financial crisis. This study provides relevant policy implications regarding global volatility management based on the empirical results. The study further provides guidelines for future research on the same area and limitations indorded in this study.

Keywords: Oil prices; COVID-19; Global data; Natural resources; EGARCH; TGARCH (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1016/j.resourpol.2022.102896

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