Modelling Volatility in the Commodity Market Amidst Russia- Ukraine War

Author:

Imandojemu Kingsley1ORCID,Sule Abubakar2ORCID

Affiliation:

1. Central Bank of Nigeria, NIgeria

2. Kogi State University, Nigeria

Abstract

We pursue two noteworthy effects of the Russia-Ukraine war on commodity market volatility. First, we construct a Russia-Ukraine war index while modelling commodity market volatility. Second, we explore the relationship between the Russia-Ukraine war and commodity market volatility using various estimators. We find consistent patterns in the volatility models of the selected estimators. Our results show that the Russia-Ukraine war triggered commodity market volatility.

Publisher

Asia-Pacific Applied Economics Association

Subject

General Medicine

Reference16 articles.

1. Commodity markets: shocks and spillovers;F. Avalos;BIS Quarterly Review,2022

2. The Russia-Ukraine conflict and volatility risk of commodity markets;Yi Fang;Finance Research Letters,2022

3. Correlations between the crude oil market and capital markets under the Russia–Ukraine conflict: A perspective of crude oil importing and exporting countries;Menghao Huang;Resources Policy,2023

4. Russia’s invasion of Ukraine increased the synchronisation of global commodity prices;Rico Ihle;Australian Journal of Agricultural and Resource Economics,2022

5. Impact of Russia-Ukraine war attention on cryptocurrency: Evidence from quantile dependence analysis;Rabeh Khalfaoui;Finance Research Letters,2023

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