Empirical Analysis of ¡°Volatility Surprise¡± between Dollar Exchange Rate and CRB Commodity Future Markets

Ching-Chun Wei

International Journal of Economics and Finance, 2016, vol. 8, issue 9, 117-126

Abstract: This paper used the five multivariate GARCH models (including BEKK, CCC, DCC, VARMA-CCC and VARMA-DCC) to analyze the mean and volatility interaction of volatility surprise between US dollar exchange and CRB future index (including agricultural, energy, commodity and precious metal equity index). The empirical findings exhibit that significant own short and long-term persistence effects and the cross-markets volatility surprise spillover short and long-term persistence effects between dollar exchange rate and CRB commodity future equity index markets in five multivariate GARCH models. Besides that, the residual diagnostic test indicated that VARMA-DCC models is the best suitable model to modeling the dollar exchange rate with CRB commodity equity index.

Keywords: MGARCH; volatility surprise; dollar exchange rate; CRB commodity future market (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:ibn:ijefaa:v:8:y:2016:i:9:p:117-126

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