Volatility Transmission in Crude Oil, Gold, Standard and Poor’s500 and US Dollar Index Futures using Vector AutoregressiveMultivariateGeneralized Autoregressive ConditionalHeteroskedasticity Model

Tanattrin Bunnag

EN

Volatility Transmission in Crude Oil, Gold, Standard and Poor’s500 and US Dollar Index Futures using Vector AutoregressiveMultivariateGeneralized Autoregressive ConditionalHeteroskedasticity Model

Abstract

This paper examined volatility transmission in the crude oil, gold, S&P 500 and US Dollar Index futures. The data used in this study was the daily data from 2010 to 2015. The four VAR- MGARCH models, namely the VAR (2)-diagonal VECH, the VAR (2)-diagonal BEKK, the VAR (2)-CCC and the VAR (2)-DCC, were employed. The empirical results showed that the estimates of the VAR (2)-diagonal BEKK parameters were statistically significant in all cases. Later, the VAR (2)-diagonal VECH parameter were statistically significant in case of RCRUDE with RGOLD, RGOLD with RSP and RSP with RUSD. At the same time the VAR (2)-CCC parameters were statistically significant in only case of RCRUDE with RGOLD. Finally, the VAR (2)-DCC were statistically significant in case of RCRUDE with RGOLD, RGOLD with RSP, RGOLD with RUSD and RSP with RUSD. In addition, we could conclude that the crude oil futures volatility was having an impact on the gold futures volatility, the gold futures volatility was having an impact on S&P 500 futures volatility, the gold futures volatility was having an impact on US Dollar Index futures volatility and S&P 500 futures volatility was having an impact on US Dollar Index futures volatility.

Keywords

Details

Primary Language

English

Subjects

Engineering

Journal Section

Conference Paper

Authors

Tanattrin Bunnag This is me

Publication Date

March 1, 2016

Submission Date

March 1, 2016

Acceptance Date

-

Published in Issue

Year 2016 Volume: 6 Number: 1

IZ

https://izlik.org/JA72TC47UJ

Cite

RIS / Bibtex

APA

Bunnag, T. (2016). Volatility Transmission in Crude Oil, Gold, Standard and Poor’s500 and US Dollar Index Futures using Vector AutoregressiveMultivariateGeneralized Autoregressive ConditionalHeteroskedasticity Model. International Journal of Energy Economics and Policy, 6(1), 39-52. https://izlik.org/JA72TC47UJ

AMA

1.Bunnag T. Volatility Transmission in Crude Oil, Gold, Standard and Poor’s500 and US Dollar Index Futures using Vector AutoregressiveMultivariateGeneralized Autoregressive ConditionalHeteroskedasticity Model. IJEEP. 2016;6(1):39-52. https://izlik.org/JA72TC47UJ

Chicago

Bunnag, Tanattrin. 2016. “Volatility Transmission in Crude Oil, Gold, Standard and Poor’s500 and US Dollar Index Futures Using Vector AutoregressiveMultivariateGeneralized Autoregressive ConditionalHeteroskedasticity Model”. International Journal of Energy Economics and Policy 6 (1): 39-52. https://izlik.org/JA72TC47UJ.

EndNote

Bunnag T (March 1, 2016) Volatility Transmission in Crude Oil, Gold, Standard and Poor’s500 and US Dollar Index Futures using Vector AutoregressiveMultivariateGeneralized Autoregressive ConditionalHeteroskedasticity Model. International Journal of Energy Economics and Policy 6 1 39–52.

IEEE

[1]T. Bunnag, “Volatility Transmission in Crude Oil, Gold, Standard and Poor’s500 and US Dollar Index Futures using Vector AutoregressiveMultivariateGeneralized Autoregressive ConditionalHeteroskedasticity Model”, IJEEP, vol. 6, no. 1, pp. 39–52, Mar. 2016, [Online]. Available: https://izlik.org/JA72TC47UJ

ISNAD

Bunnag, Tanattrin. “Volatility Transmission in Crude Oil, Gold, Standard and Poor’s500 and US Dollar Index Futures Using Vector AutoregressiveMultivariateGeneralized Autoregressive ConditionalHeteroskedasticity Model”. International Journal of Energy Economics and Policy 6/1 (March 1, 2016): 39-52. https://izlik.org/JA72TC47UJ.

JAMA

1.Bunnag T. Volatility Transmission in Crude Oil, Gold, Standard and Poor’s500 and US Dollar Index Futures using Vector AutoregressiveMultivariateGeneralized Autoregressive ConditionalHeteroskedasticity Model. IJEEP. 2016;6:39–52.

MLA

Bunnag, Tanattrin. “Volatility Transmission in Crude Oil, Gold, Standard and Poor’s500 and US Dollar Index Futures Using Vector AutoregressiveMultivariateGeneralized Autoregressive ConditionalHeteroskedasticity Model”. International Journal of Energy Economics and Policy, vol. 6, no. 1, Mar. 2016, pp. 39-52, https://izlik.org/JA72TC47UJ.

Vancouver

1.Tanattrin Bunnag. Volatility Transmission in Crude Oil, Gold, Standard and Poor’s500 and US Dollar Index Futures using Vector AutoregressiveMultivariateGeneralized Autoregressive ConditionalHeteroskedasticity Model. IJEEP [Internet]. 2016 Mar. 1;6(1):39-52. Available from: https://izlik.org/JA72TC47UJ