Xu, YahuaTourani-Rad, AlirezaRoh, Tai-Yong2024-10-152024-10-152024-10-08Applied Finance Letters, ISSN: 2253-5799 (Print); 2253-5802 (Online), Auckland University of Technology (AUT) Library, 13, 223-236. doi: 10.24135/afl.v13i.8092253-57992253-5802http://hdl.handle.net/10292/18132We 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.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.https://creativecommons.org/licenses/by-nc-nd/4.0/1502 Banking, Finance and Investment3502 Banking, finance and investmentJournal ArticleOpenAccess10.24135/afl.v13i.809