Analysis of Price Volatility in the Energy, Agricultural, and Gold U.S. Markets: Evidence from GARCH Models.

Md Shihab Uddin

Diplomová práce

Abstract:

In this paper, we have looked at the volatility and dynamic associations among the major commodities that are crude oil, gold, wheat, and natural gas with the DCC-GARCH model. The univariate GARCH findings verify that all the return series contain volatility clustering. DCC-GARCH results demonstrate that the correlation dynamics is very persistent across time, with the preeminent factor contributing to this correlation dynamics being the parameter of beta. The alpha parameter is not high, meaning there is not much short-term effect of shock. Correlation is likely to rise in stressful times in the market, diminishing the advantages of diversification. The findings indicate high interdependence of the commodity markets, with long-run factors being the chief determinant. The above results show that dynamic correlations are valuable to include in portfolio management and risk measures. In general, the paper proves that DCC-GARCH models can be used to gain valuable information about the changing market relations.

Keywords

EGARCH model, Volatility clustering, Crude oil, Natural gas, Gold, wheat, Volatility spillover, Commodity market, Price volatility, GARCH model

Jazyk práce: angličtina

Datum vytvoření / odevzdání či podání práce: 3. 4. 2026

Obhajoba závěrečné práce

• Vedoucí: Ing. Michal Čermák, Ph.D.
• Oponent: Marie Ligocká, externi

Česká zemědělská univerzita v Praze

Provozně ekonomická fakulta

Magisterský studijní program:
Economics and Management