What impacts the structural breaks in volatility transmission from crude oil to agricultural commodities?
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The paper examines the evolution of volatility transmission from thecrude oil market to agricultural commodities during the period from1983 to 2015 based on the unbiased version of Rogers and Satchell(1991) volatility estimator, hereafter referred as the AddRS estimator. Our findings indicate that the dynamics of volatility transmission fromcrude oil to the given agricultural commodity is structurally unstableand exhibits structural breaks. We find that the structural breaks involatility series play a tiny role in explaining the structural breaks inthe measured volatility transmission from crude oil to the givenagricultural commodities. However, we find that the conditionalheteroskedasticity plays a significant role in explaining the structuralbreaks in measured volatility transmission from crude oil toagricultural commodity. The economic significance analysis indicatesthat the information from the crude oil market can be used to earnsubstantial economic gain in returns by investing in agriculturalcommodities.
Abstract
The paper examines the evolution of volatility transmission from thecrude oil market to agricultural commodities during the period from1983 to 2015 based on the unbiased version of Rogers and Satchell(1991) volatility estimator, hereafter referred as the AddRS estimator. Our findings indicate that the dynamics of volatility transmission fromcrude oil to the given agricultural commodity is structurally unstableand exhibits structural breaks. We find that the structural breaks involatility series play a tiny role in explaining the structural breaks inthe measured volatility transmission from crude oil to the givenagricultural commodities. However, we find that the conditionalheteroskedasticity plays a significant role in explaining the structuralbreaks in measured volatility transmission from crude oil toagricultural commodity. The economic significance analysis indicatesthat the information from the crude oil market can be used to earnsubstantial economic gain in returns by investing in agriculturalcommodities.
참고문헌 (58)
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