Acta Univ. Agric. Silvic. Mendelianae Brun. 2019, 67(6), 1597-1611 | DOI: 10.11118/actaun201967061597

Predicting Volatility and Dynamic Relation Between Stock Market, Exchange Rate and Select Commodities

Saif Siddiqui, Preeti Roy
Centre for Management Studies, Jamia Millia Islamia - Central University, Jamia Nagar, New Delhi-110025, India

Commodities play a vital role in the development of emerging economies, like India. From this perspective, the study presents dynamic correlation in the prices of gold, crude oil, exchange rate and Indian stock market from April 01, 2014 to March 28, 2018. VARMA-BEKK-GARCH model is estimated for return and volatility spillovers across markets. Bidirectional returns spillover was found between Nifty and WTI and WTI and Gold pair. Whereas the bidirectional volatility spillover between Nifty and Gold pair. From the DCC-GARCH correlational analysis, Gold was found to be effective hedging commodity for Indian stock investors than Crude Oil. The asymmetric impact of shocks in covariance is observed between Nifty 50 and all other variables. The study focuses to aid investors and portfolio diversifiers while taking investment decisions.

Keywords: crude oil price, exchange rate, gold price, stock market, DCC-GARCH, BEKK-GARCH, correlation

Received: May 2, 2018; Accepted: November 4, 2019; Published: December 22, 2019  Show citation

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Siddiqui, S., & Roy, P. (2019). Predicting Volatility and Dynamic Relation Between Stock Market, Exchange Rate and Select Commodities. Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 67(6), 1597-1611. doi: 10.11118/actaun201967061597
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