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Year 2016, Volume: 6 Issue: 1, 39 - 52, 01.03.2016

Tanattrin Bunnag

Abstract

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

Year 2016, Volume: 6 Issue: 1, 39 - 52, 01.03.2016

Tanattrin Bunnag

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

Volatility Transmission crude oil futures gold futures S&P 500 futures US Dollar Index futures VAR-MGARCH

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Details

Primary Language English
Subjects Engineering
Other ID JA45PK33TR
Journal Section Research Article
Authors

Tanattrin Bunnag This is me

Publication Date March 1, 2016
Published in Issue Year 2016 Volume: 6 Issue: 1

Cite

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.
AMA Bunnag T. Volatility Transmission in Crude Oil, Gold, Standard and Poor’s500 and US Dollar Index Futures using Vector AutoregressiveMultivariateGeneralized Autoregressive ConditionalHeteroskedasticity Model. IJEEP. March 2016;6(1):39-52.
Chicago 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, no. 1 (March 2016): 39-52.
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 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, 2016.
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 2016), 39-52.
JAMA 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, 2016, pp. 39-52.
Vancouver 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.