Revisiting volatility in global natural resources commodities? Evidence from global data

Abstract

Natural resource commodities are considered an important factor for economic growth and development. However, volatility in these commodities is a topic of interest, which currently has the attention of scholars. In this regard, the current study investigates volatility in global natural resource commodities while undertaking the Covid-19 pandemic. This study used coal rents (CR), forest rents (FR), mineral rents (MR), natural gas rents (NGR), oil rents (OR), and total natural resource rents (TNRR) to comprehensively measure volatility in natural resource commodities during the period from 1971 to 2020. For empirical investigation of volatility, this study employed autoregressive conditional heteroscedasticity (ARCH) specification, which indicates that CR, FR, MR, and NGR hold no volatility throughout the study period. However, OR and TNRR are found to be volatile throughout the period and during the Covid-19 pandemic. Besides, the generalized threshold ARCH (TGARCH) and exponential generalized ARCH (EGARCH) provide no evidence of positive-negative shocks asymmetry. Also, the results do not provide evidence that negative shock enhances volatility in natural resource commodities more than that of positive shock having the same magnitude. Based on the empirical findings, this study recommends some policy implications in the end.