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...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
SAGE Publishing
2020-05-01
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| Series: | SAGE Open |
| Online Access: | https://doi.org/10.1177/2158244020924418 |