Large Shocks and Commodity Market Volatility
City University of New York, CUNY Baruch College - Zicklin School of Business - Department of Economics and Finance
GARP Research Center
January 14, 2010
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, G1working papers series
Date posted: March 19, 2010
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollo8 in 0.328 seconds