Volatility Transmission between Oil and LME Futures

descriptionPublicationkeyboard_double_arrow_right Article 21 Jan 2018Publisher:Redfame PublishingJournal:Applied Economics and Finance, volume 5, page 65 (issn: 2332-7294, eissn: 2332-7308,

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Authors: Jaehwan Park;

doi: 10.11114/aef.v5i2.2944

Volatility Transmission between Oil and LME Futures

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Abstract

This paper investigates the volatility transmission between oil and base metals to assess the possibility of hedge strategy across commodity markets. In order to identify the volatility linkage of oil to the base metals, the bivariate GARCH model is applied using daily returns data period over 2000-2016. It is found that evidence of volatility transmission between oil and base metals is somewhat strong with a 1% significant level. This result suggests the investment idea of commodity hedging strategy of cross-market is important.

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