Abstract
We investigate the impact of COVID-19 on commodity return volatility. We find that the impact of COVID-19 on return volatility is different across different markets. Unlike S&P 500 sector indices, commodity return volatility is less sensitive to the impact of COVID-19. The impact of vaccination programs on return volatility is weak for both commodity and financial markets. We employ Fama-French 3 Factor Model and APARCH (1,1) for return volatility estimation. The variation in COVID-19’s impact across different markets has an important implication for return volatility hedging.
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