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Large Shocks and Commodity Market Volatility


Jian Hua


City University of New York, CUNY Baruch College - Zicklin School of Business - Department of Economics and Finance

Peter Went


GARP Research Center
January 14, 2010


Abstract:     
Using the Tsay (1988) outlier identification methodology on daily log-returns of 16 commodity spot price series and 25 commodity index series, this study assesses the impact significant and unexpected news announcements had on volatility between January 1, 1997 and December 31, 2007. Results corroborate the existence of a transmission mechanism between news announcements and the return generating process. Moreover, removing the impact of the extreme events - outliers - improves the return and volatility estimates.

Number of Pages in PDF File: 30

Keywords: Commodity markets, Volatility, Outliers, News, Risk Management, Time series

JEL Classification: C4, C5, C6, G1

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Date posted: March 19, 2010  

Suggested Citation

Hua, Jian and Went, Peter, Large Shocks and Commodity Market Volatility (January 14, 2010). Available at SSRN: http://ssrn.com/abstract=1571961 or http://dx.doi.org/10.2139/ssrn.1571961

Contact Information

Jian Hua
City University of New York, CUNY Baruch College - Zicklin School of Business - Department of Economics and Finance ( email )
17 Lexington Avenue
New York, NY 10010
United States
Peter Went (Contact Author)
GARP Research Center ( email )
111 Town Square Place
Suite 1215
Jersey City, NJ 07310
United States
2017197230 (Phone)
HOME PAGE: http://www.garp.com
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