Volatility Linkages Between Price Returns of Crude Oil and Crude Palm Oil in the ASEAN Region: A Copula Based GARCH Approach

Crude oil volatility and the biodiesel feedstock market in Malaysia during the 2014 oil price decline and the COVID-19 outbreak

“…On the whole, the findings of this empirical study are supported by previous literature suggesting the existence of an information transmission mechanism from world oil prices to Malaysian palm oil prices (Kiatmanaroch and Sriboonchitt, 2014;Nazlioglu and Soytas, 2012;Kiatmanaroch et al, 2015). Notably, our findings are different from the papers cited above in several aspects.…”

“…Kiatmanaroch and Sriboonchitta (2014) find a positive link between the two markets with exchange rates being a vital factor impacting the association. Kiatmanaroch et al (2015) also show a significant connection between Gulf crude oil and Malaysian palm oil price series. A recent study by Priyati and Tyers (2016) contends that, since palm oil is a consumption substitute for vegetable oils that can be used as fuels, the energy market plays a prominent role in prompting palm oil prices.…”

“…Such a result is not surprising as, when oil market volatility is low, crude oil prices tend to increase which, in turn, causes a growth in palm oil prices 5 . Kiatmanaroch et al (2015) demonstrate that rising crude oil prices lead to a growth in biodiesel production, causing an upsurge in crude palm oil prices. Hence, oil volatility emerges as a major risk for the edible oil industry and investors and policymakers should be aware of such uncertainty.…”

“…Overall, as palm oil is an important agricultural commodity, its prices tend to be influenced by energy price variations through output costs including transportation. It is noteworthy that the demand for palm oil, as biodiesel feedstock, upsurges following a growth in crude oil prices, and this in turn raises the price of crude palm oil (Kiatmanaroch et al, 2015).…”

Analysis of the Fluctuation of Chinese Crude Oil Futures- Based on GARCH-type Model

“…of the prices of both the commodities [5]. Some used the copula based ARMA-GARCH to examine the dependence structure between the weekly prices of two commodities, namely crude oil and crude palm oil, namely crude oil and crude palm oil.It found evidence of a weak positive of two commodities price [6]. Some proposes to analyze the applicability of TVEC-Copula-DCCGARCH methodology to model crude oil volatility, it estimated an out -sample hedge during European crisis, it shows that the copula-DCC-GARCH presents a superior fit [7].…”