Oil Volatility-of-Volatility and Tail Risk of Commodities
Date
Authors
Xu, Yahua
Tourani-Rad, Alireza
Roh, Tai-Yong
Supervisor
Item type
Journal Article
Degree name
Journal Title
Journal ISSN
Volume Title
Publisher
Auckland Centre for Financial Research.
Abstract
We examine the information content of oil volatility-of-volatility (VOV), constructed from the past 1-month OVX (implied volatility in crude oil market), on the expected tail risk of commodities. Specifically, we find oil VOV predicts 1-step-ahead tail risks of Energy, Precious Metals, Agriculture, Livestock sectors and the Aggregate Commodity sector (GSCI) for both in-sample and out-of-sample. Our results indicate the important role of crude oil in overall commodity markets by incorporating forward-looking information of OVX. Our findings are robust and complement the strand of literature about the leading role of crude oil in commodity markets.Description
Keywords
1502 Banking, Finance and Investment, 3502 Banking, finance and investment
Source
Applied Finance Letters, ISSN: 2253-5799 (Print); 2253-5802 (Online), Auckland University of Technology (AUT) Library, 13, 223-236. doi: 10.24135/afl.v13i.809
Publisher's version
Rights statement
Copyright (c) 2024 Yahua Xu, Alireza Tourani-Rad, Tai-Yong Roh. Creative Commons License. This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.