This paper examines the volatility
transmission from energy and metal commodities to six major African exporters’
stock markets (Egypt for oil and gold, Nigeria for oil and gas, South Africa
for coal and gold, Tunisia for oil, Uganda for gold and Zambia for copper).
Modelling commodity volatility with the Double Asymmetric GARCH-MIDAS model
with a Student’s t-distribution allows to detect the presence of impact and
inertial stock market volatility spillovers at different lags and to take into
account the leptokurtosis of the commodity series. We then derive the profile
of Volatility Impulse Responses of the stock markets to commodity shocks.
classification numbers: C10,
Keywords: Volatility spillover, GARCH-MIDAS, African countries, Commodities.