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Empirical Analysis of ¡°Volatility Surprise¡± between Dollar Exchange Rate and CRB Commodity Future Markets

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  • Ching-Chun Wei

Abstract

This paper used the five multivariate GARCH models (including BEKK, CCC, DCC, VARMA-CCC and VARMA-DCC) to analyze the mean and volatility interaction of volatility surprise between US dollar exchange and CRB future index (including agricultural, energy, commodity and precious metal equity index). The empirical findings exhibit that significant own short and long-term persistence effects and the cross-markets volatility surprise spillover short and long-term persistence effects between dollar exchange rate and CRB commodity future equity index markets in five multivariate GARCH models. Besides that, the residual diagnostic test indicated that VARMA-DCC models is the best suitable model to modeling the dollar exchange rate with CRB commodity equity index.

Suggested Citation

  • Ching-Chun Wei, 2016. "Empirical Analysis of ¡°Volatility Surprise¡± between Dollar Exchange Rate and CRB Commodity Future Markets," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 8(9), pages 117-126, September.
    • Handle: RePEc:ibn:ijefaa:v:8:y:2016:i:9:p:117-126
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    References listed on IDEAS

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    More about this item

    Keywords

    MGARCH; volatility surprise; dollar exchange rate; CRB commodity future market;
    All these keywords.

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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