#2969. Asymmetric volatility in commodity markets

November 2026publication date
Proposal available till 30-05-2025
4 total number of authors per manuscript3510 $

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Journal’s subject area:
Finance;
Economics and Econometrics;
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Abstract:
The article studied the ratio of profitability and volatility of a number of goods. In addition, a commodity price model is developed and shows that the volatility of price changes can be positively or negatively related to demand shocks. The reverse effect of leverage - volatility is higher after positive price shocks - is found in more than half of daily spot prices.
Keywords:
Asymmetric volatility; Commodity; Inventory effect

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