Spillover Effects Between Energy and Precious Metals Markets: A DCC-GARCH Approach Based on Wavelet Coherence Analysis

Year 2025, Volume: 33 Issue: 64, 557 - 585, 26.04.2025

Aslan Aydoğdu , Umut Uyar

https://doi.org/10.17233/sosyoekonomi.2025.02.24

Abstract

In this study, using daily return data between October 1, 2012, and June 4, 2024, the volatility spillovers between energy commodity markets and precious metal markets are investigated using the Dynamic Conditional Correlation approach based on wavelet coherence Analysis, which allows for the analysis of relationships between markets in time-frequency space. According to the findings of the wavelet coherence analysis, a long-run, mostly positive interdependence effect was observed from Brent oil returns to gold, silver, and platinum returns, as well as a long-run interdependence effect from palladium returns to natural gas returns. In the dynamic conditional correlation analyses for the identified long-run investment cycles, conditional correlation and volatility persistence findings are obtained for each investment cycle. The findings are significant for investors with long-term investment horizons.

Keywords

Energy Commodities, Precious Metals, Wavelet Coherence Analysis, Dynamic Conditional Correlation

Supporting Institution

Herhangi bir kurum tarafından desteklenmemiştir.

Enerji ve Kıymetli Metal Piyasaları Arasında Yayılım Etkisi: Wavelet Uyum Analizine Dayalı DCC-GARCH Yaklaşımı

Abstract

Bu çalışmada 01.10.2012-04.06.2024 tarihleri arasındaki günlük getiri verileri kullanılarak enerji emtia piyasaları ile kıymetli metal piyasaları arasındaki volatilite yayılımı, zaman-frekans uzayında piyasalar arasındaki ilişkilerin incelenmesine olanak sağlayan Wavelet Uyum Analizi Dayalı Dinamik Koşullu Korelasyon yaklaşımı ile araştırılmıştır. Wavelet uyum analizi bulgularına göre, Brent petrol getirilerinden altın, gümüş ve platin getirilerine doğru uzun dönemli ve çoğunlukla pozitif; paladyum getirisinden doğal gaz getirilerine doğru ise uzun dönemli karşılıklı bağımlılık etkisi tespit edilmiştir. Belirlenen uzun dönemli yatırım döngüleri için uygulanan dinamik koşullu korelasyon analizlerinde ise, her bir yatırım döngüsü için koşullu korelasyon ve volatilite kalıcılığı bulgularına ulaşılmıştır. Elde edilen bulgular, özellikle uzun vadeli yatırım ufkuna sahip yatırımcılar için önem arz etmektedir.

Keywords

Enerji Emtiaları, Değerli Metaller, Wavelet Uyum Analizi, Dinamik Koşullu Korelasyon Analizi

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