Volatility spillover effects and cross hedging in corn and crude oil futures

2010 ◽  
Vol 31 (11) ◽  
pp. 1052-1075 ◽  
Author(s):  
Feng Wu ◽  
Zhengfei Guan ◽  
Robert J. Myers
Keyword(s):  
Crude Oil ◽  
Spillover Effects ◽  
Volatility Spillover ◽  
Oil Futures ◽  
Crude Oil Futures ◽  
Cross Hedging

scholarly journals The Volatility Spillover Effect Between the International Crude Oil Futures Price and China’s Stock Market - Multivariate BEKK-GARCH Model Based on Wavelet Multiresolution

2019 ◽  
Vol 10 (4) ◽  
pp. 84
Author(s):  
Maoguo Wu ◽  
Zhehao Zhu
Keyword(s):  
Stock Market ◽  
Crude Oil ◽  
Spillover Effect ◽  
Garch Model ◽  
Futures Market ◽  
Volatility Spillover ◽  
Oil Futures ◽  
Model Based ◽  
Crude Oil Futures ◽  
Volatility Spillover Effect

This study aims to analyze the volatility spillover effect between the international crude oil futures market and China’s stock market. Using West Texas Intermediate (WTI) and the Shanghai Composite Index (SSEC) to represent the international crude oil futures market and China’s stock market respectively, this study selects data of WTI and the SSEC from August 10, 2007 to August 10, 2017. It processes these data via wavelet multiresolution to decompose them into different levels and then builds the data model based on the BEKK-GARCH model. By testing the parameters through the Wald test, it further explores whether the volatility spillover effect exists between WTI and the SSEC. Empirical evidence finds that the volatility spillover effect between WTI and the SSEC is significant in the short run, while, however, such a volatility spillover effect does not exist in the medium and long term.

Crude Oil Volatility Transmission Across Food Commodity Markets: A Multivariate BEKK-GARCH Approach

2020 ◽  
pp. 097265272092762
Author(s):  
M. Thenmozhi ◽  
Shipra Maurya
Keyword(s):  
Crude Oil ◽  
Futures Markets ◽  
Spot Market ◽  
Futures Market ◽  
Spot Price ◽  
Volatility Spillover ◽  
Oil Futures ◽  
Long Run ◽  
Short Run ◽  
Crude Oil Futures

This study examines the time-varying price risk transmission in the nexus between crude oil and agricultural commodity prices in the context of non-grain-based biofuel producing country. Analysis of the short- and long-run dynamics of volatility in both spot and futures markets of maize, soybean and wheat and crude oil prices using the multivariate BEKK-GARCH model, indicate volatility spillover from wheat futures to crude oil futures in the short run and from crude oil futures to futures markets of maize, soybean and wheat in the long run. The spot market linkage of selected commodities is weaker compared to futures market, wherein maize spot volatility transmits to crude oil spot market in the longer period and no spillover between crude oil-food spot market is observed in the short run. The hedge ratios indicate that a dynamic hedging strategy is crucial for efficient risk management and the portfolio weights in futures market are more than the spot market. The results reveal that cross-market volatility spillover is more evident in the futures market, while own past conditional volatility is more significant in spot price discovery and risk transmission is evident among food commodities futures markets. JEL Codes: G13, G14, Q11, Q18, Q02

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