Revisiting volatility in global natural resources commodities? Evidence from global data

Lin, Shiwei; Wang, Yanan; Niu, Xiaojian; Dördüncü, Hazar

doi:10.1016/j.resourpol.2022.102759

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Data and Methodology Of The Ardl Model For Co-integration1

Literature Review1

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2023

2024

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Cited by 4 publications

(2 citation statements)

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“… [15] . The second reason is that the endogenous variable suffers from a rather large volatility problem [ [16] , [17] , [18] , [19] ]. This is the reason why this study takes into account the Zivot–Andrews (AZ) test which is very suitable for series that are victims of regime shifts.…”

Section: Data and Methodology Of The Ardl Model For Co-integrationmentioning

confidence: 99%

Methodology for examining the relationship between oil rent and crude oil production: Evidence from Cameroon

Ewodo-Amougou,

Sapnken,

Mfetoum

et al. 2023

MethodsX

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Section: Data and Methodology Of The Ardl Model For Co-integrationmentioning

confidence: 99%

Methodology for examining the relationship between oil rent and crude oil production: Evidence from Cameroon

Ewodo-Amougou,

Sapnken,

Mfetoum

et al. 2023

MethodsX

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“…The results supported the hypothesis that the pandemic impacted precious metals' volatility. Moreover, Lin et al (2022) analyzed numerous commodities futures from 1971 to 2020 in a GARCH framework and found that the price volatility in natural resources was higher during the COVID-19 pandemic, so price sensitivity increased during this term. Furthermore, Rizvi and Itani (2022) comparatively analyzed volatility spams in the oil market during the COVID-19 pandemic, the 2008 Global Financial Crisis (GFC), and the SARS outbreak of 2002-2004 (SARS) applying several GARCH models.…”

Section: Literature Reviewmentioning

confidence: 99%

The Impact of COVID-19 on the Volatility of Copper Futures

Melo-Vega-Angeles,

Chuquillanqui-Lichardo

2023

Economies

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The COVID-19 pandemic has introduced significant uncertainty across various economic sectors, most notably in the industrial sector due to the high volatility in copper futures markets. These markets play a crucial role in the construction, electrical networks, electronic products, and industrial machinery industries. Therefore, the aim of this study is to evaluate the impact of the COVID-19 pandemic on the volatility of copper futures returns from 2 January 2018 to 30 December 2022 using an extended ARMA(m,n)–GARCH(p,q) framework. According to the results, the occurrence of the pandemic nearly doubled the long-run equilibrium volatility of returns compared to the values obtained in the pre-pandemic period. Hence, we conclude that the COVID-19 pandemic has a significant influence on the volatility in the copper futures market.

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Analysis of the relationship between oil rent and crude oil production in Cameroon: Evidence from ARDL and NARDL models

Ewodo-Amougou,

Sapnken,

Mfetoum

et al. 2023

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Revisiting volatility in global natural resources commodities? Evidence from global data

Cited by 4 publications

References 29 publications

Methodology for examining the relationship between oil rent and crude oil production: Evidence from Cameroon

Methodology for examining the relationship between oil rent and crude oil production: Evidence from Cameroon

The Impact of COVID-19 on the Volatility of Copper Futures

Analysis of the relationship between oil rent and crude oil production in Cameroon: Evidence from ARDL and NARDL models

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