The Impact of the Extreme Events on Commodity Market Volatility

31 Pages Posted: 16 Feb 2009

See all articles by Jian Hua

Jian Hua

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

Peter Went

CLS Bank International

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

Hua, Jian and Went, Peter, The Impact of the Extreme Events on Commodity Market Volatility (February, 16 2009). Available at SSRN: https://ssrn.com/abstract=1344451 or http://dx.doi.org/10.2139/ssrn.1344451

Jian Hua

City University of New York, 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)

CLS Bank International ( email )

32 Old Slip
New York, NY 10005
United States
2125104594 (Phone)

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