Farid, Saqib, Mujtaba, Ghulam 
ORCID: https://orcid.org/0000-0002-7317-4357, Abubakr Naeem, Muhammad ORCID: https://orcid.org/0000-0001-6962-3175 and Jawad Hussain Shahzad, Syed
(2021)
Intraday volatility transmission among precious metals, energy and stocks during the COVID-19 pandemic.
Resources Policy, 72 (102101).
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Abstract
In this study, we present the evidence of dramatic changes in the structure and time-varying patterns of volatility connectedness across equities and major commodities (oil, gold, silver and natural gas) in the US economy before and during the COVID-19 outbreak. We utilize high frequency 5-min trading data of most actively traded US ETFs to construct the volatility connectedness network. We compute the intraday volatility estimates using MCS-GARCH model and then employ Diebold and Yilmaz (2012) spillover index approach to approximate volatility spillovers between the financial markets. Our main findings showcase significant impact of COVID-19 pandemic on the volatility linkages of financial markets as the volatility connectedness among the different assets peaked during the outbreak. Other findings and implications of the study are further discussed.
| Item Type: | Article |
|---|---|
| Status: | Published |
| DOI: | doi10.1016/j.resourpol.2021.102101 |
| School/Department: | London Campus |
| URI: | https://ray.yorksj.ac.uk/id/eprint/10039 |
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