Volatility spillover among prices of crude oil, natural gas, exchange rate, gold, and stock market: Fresh evidence from exponential generalized autoregressive conditional heteroscedastic model analysis

Abstract

In the era of financial integration, the study of volatility spillover can offer valuable insights. For portfolio investment and risk management, it is important to analyze volatility spillover from one market to another market. This study investigates the volatility spillover among the prices of natural gas (NG), crude oil (CO), exchange rate (EX), gold (GD), and stock market (SM) in the Indian context. We apply the exponential generalized autoregressive conditional heteroscedastic model to explore the volatility linkages among the variables mentioned above. This study contributes to the body of knowledge in the following ways. First, we consider the daily data from January 1997 to December 2019, so that the study can portray a detailed trend about the selected variables. Second, the findings of the study can be helpful for more than a few stakeholders including policymakers. Outcomes show that the volatility of the energy commodities does not affect SM volatility. However, EX has a highly significant impact on SM volatility. Only EX significantly affects GD volatility, rest of the variables do not have any impact on GD volatility. Furthermore, CO and EX volatility do not affect NG volatility rather it is affected by SM and GD price volatility. Several stakeholders of the Indian SM like academicians, policymakers, and investors can take insights from our results.