The Impact of the Extreme Events on Commodity Market Volatility
31 Pages Posted: 16 Feb 2009
Date Written: February, 16 2009
Abstract
Using an outlier identification methodology this study assesses the impact of extreme news and economic announcements have on the daily log-returns of 16 commodity spot price series and 25 commodity index series and their conditional volatility. Between January 1, 1997 and December 31, 2007, the impact of these events on returns and on estimated conditional volatility corroborates the existence of mechanism transmitting extreme events on the return generating process. Removing the impact of the extreme events improves the return and volatility estimates.
Keywords: Commodity markets, Outliers, Asset Pricing, Risk Management, Time series, Volatility Forecasts
JEL Classification: C4, C5, C6, G1
Suggested Citation: Suggested Citation
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