School of Finance, Zhongnan University of Economics and Law, Wuhan, China.
School of Finance, Shandong University of Finance and Economics, Jinan, China.
Front Public Health. 2022 Jul 27;10:906969. doi: 10.3389/fpubh.2022.906969. eCollection 2022.
The outbreak of the COVID-19 epidemic intensified the volatility of commodity markets (the energy and precious metals markets), which created a significant negative impact on the volatility spillovers among these markets. It may also have triggered a new volatility risk contagion. In this paper, we introduce the DCC-GARCH-CONNECTEDNESS approach to explore the volatility spillover level and multi-level spillover structure characteristics among the commodity markets before and during the COVID-19 epidemic in order to clarify the new volatility risk contagion patterns across the markets. The results implied several conclusions. (i) The COVID-19 epidemic has significantly improved the total volatility spillover level of the energy and precious metals markets and has enhanced the risk connectivity among the markets. (ii) The COVID-19 epidemic has amplified the volatility of the crude oil market, making it the main volatility spillover market, namely the source of volatility risk contagion. (iii) The COVID-19 epidemic outbreak enhanced the external risk absorption capacity of the natural gas and silver markets, and the absorption level of the external volatility spillover improved significantly. Furthermore, the risk absorption capacity of the gold market weakened, while the gold market has remained the endpoint of external volatility risk during the epidemic and has acted as a risk stabilizer. (iv) The volatility spillover among markets has clear time-varying characteristics and a positive connectedness with the severity of the COVID-19 epidemic. As the severity of the COVID-19 epidemic increases, the volatility risk connectivity among the markets rapidly increases.
COVID-19 疫情爆发加剧了商品市场（能源和贵金属市场）的波动性，这对这些市场之间的波动溢出产生了重大负面影响。它也可能引发了新的波动风险传染。在本文中，我们引入了 DCC-GARCH-CONNECTEDNESS 方法，以探讨 COVID-19 疫情前后商品市场之间的波动溢出水平和多层次溢出结构特征，以澄清市场之间新的波动风险传染模式。结果表明了几个结论。（i）COVID-19 疫情显著提高了能源和贵金属市场的总波动溢出水平，并增强了市场之间的风险联系。（ii）COVID-19 疫情放大了原油市场的波动，使其成为主要的波动溢出市场，即波动风险传染的源头。（iii）COVID-19 疫情爆发增强了天然气和银市场的外部风险吸收能力，外部波动溢出的吸收水平显著提高。此外，黄金市场的风险吸收能力减弱，而黄金市场在疫情期间仍然是外部波动风险的终点，并起到了风险稳定器的作用。（iv）市场之间的波动溢出具有明显的时变特征，并与 COVID-19 疫情的严重程度呈正相关。随着 COVID-19 疫情的严重程度增加，市场之间的波动风险联系迅速增加。
