Abstract
The paper studies the return-volatility relationship in a range of commodities. We develop a commodity price model and show that the volatility of price changes can be positively or negatively related to demand shocks. An “inverse leverage effect” – the volatility is higher following positive price shocks – is found in more than half of the daily spot prices. The effect is weaker in 3-month futures market and monthly historical volatility measures. Only crude oil exhibits a “leverage effect” – a higher volatility follows a negative shock, and the reason is explored in the context of its special market structure.
| Original language | English |
|---|---|
| Publication status | Published - 29 May 2019 |
| Event | 42nd IAEE International Conference: Local Energy, Global Markets - Montreal, Canada Duration: 29 May 2019 → 1 Jun 2019 Conference number: 42 https://iaee2019.org/ |
Conference
| Conference | 42nd IAEE International Conference |
|---|---|
| Country/Territory | Canada |
| City | Montreal |
| Period | 29/05/19 → 1/06/19 |
| Internet address |
Keywords
- asymmetric volatility
- commodity markets
- invetory effects
- OPEC
- crude oil
- GARCH
ASJC Scopus subject areas
- Economics, Econometrics and Finance (miscellaneous)
- General Energy