Commodity and stock markets: dynamic volatility spillovers

Abstract

This paper presents new evidence on the relationship between implied stock and commodity volatility indices, using a systemic approach. Our results suggest that about 40 % of the total variance of the forecast errors is explained by shocks in emerging stock markets, developed stock markets, oil and gold markets during the period from 15 August 2011 - 30 June 2020. We also found a significant time-varying dependence volatility, with an increase of volatility connectedness during periods of high instability.