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