Volatility Spillover Among Equity and Commodity Markets

This study aims to examine volatility spillover among equity and commodity markets of the United States. The analysis focuses on crude oil (Brent and WTI [West Texas Intermediate]), rice, and gasoline. For the analysis, generalized autoregressive conditional heteroscedasticity (GARCH) (1, 1) model i...

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Bibliographic Details
Main Authors: Tariq Aziz, Ranjeeta Sadhwani, Ume Habibah, Mazin A. M. Al Janabi
Format: Article
Language:English
Published: SAGE Publishing 2020-05-01
Series:SAGE Open
Online Access:https://doi.org/10.1177/2158244020924418