Authors:
R. Madhankumar, S. Darshan, A. Preethi, Mohammed Farooq Pasha

Addresses:
Department of Commerce, KLE Society’s Evening Degree College, Nagarabhavi, Bengaluru, Karnataka, India. Department of Commerce and Management, Center for Distance and Online Education (CDOE), Jain (Deemed-to-be University), Bengaluru, Karnataka, India. Department of Commerce and Management, Government First Grade College, Kengeri, Bengaluru, Karnataka, India.

Abstract:

Risk managers and portfolio diversifiers in a financialised world understand commodity market interlinkages using the study. This study uses VAR–DCC–GARCH to assess crude oil (CO), gold (GC), and copper (HG) prices and volatility. Short-run transmission mechanisms and commodity dependence structures are represented using 2017–2023 daily futures price data, along with mean spillover dynamics, volatility persistence, and time-varying correlations. Initial diagnostics indicate that all return series exhibit unit roots, non-normality, and volatility clustering, consistent with GARCH models. Granger causality tests reveal that the copper price return predicts the crude oil return, whereas the gold price is impervious to short-run return spillovers. The VAR shows modest and asymmetric return spillovers from copper to crude oil. Impulse-response research demonstrates that cross-market shocks are ephemeral, while own-market shocks dominate return dynamics. In contrast, volatility dynamics persist and interact. Univariate GARCH estimates indicate that copper and gold exhibit significant volatility persistence, whereas crude oil shows less volatility persistence. Time-varying correlations in the DCC-GARCH are sensitive to market date shocks, indicating that commodity co-movements grow and remain robust. The study found that market uncertainty reduces state-dependent portfolio diversification gains across crude oil, gold, and copper. The findings show that volatility, not returns, drives commodity market interconnectedness. Investors and policymakers can benefit from dynamic risk management and time-varying hedging research, especially in India's rising market.

Keywords: Crude Oil; Gold and Copper; Commodity Market Interlinkages; Volatility Spillovers; Vector Autoregression; Dynamic Conditional Correlation; Augmented Dickey–Fuller; Impulse Response Functions.

Received on: 09/03/2025, Revised on: 12/06/2025, Accepted on: 15/09/2025, Published on: 03/01/2026

DOI: 10.69888/FTSTPL.2026.000630

FMDB Transactions on Sustainable Technoprise Letters, 2026 Vol. 4 No. 1, Pages: 1-14

• Views : 70
• Downloads : 15

Download PDF