Journal of Statistical and Econometric Methods

Energy and non–energy Commodities: Spillover Effects on African Stock Markets

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  • Abstract

     

    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.

     

    JEL classification numbers: C10, C52, C58.

    Keywords: Volatility spillover, GARCH-MIDAS, African countries, Commodities.