期刊名称：Journal of Statistical and Econometric Methods
印刷版ISSN：2241-0384
电子版ISSN：2241-0376
出版年度：2020
卷号：9
期号：4
页码：91-115
语种：English
出版社：Scienpress Ltd
摘要：This paper examines the volatility transmission from energy and metal commoditiesto six major African exporters’ stock markets (Egypt for oil and gold, Nigeria foroil and gas, South Africa for coal and gold, Tunisia for oil, Uganda for gold andZambia for copper). Modelling commodity volatility with the Double AsymmetricGARCH-MIDAS model with a Student’s t-distribution allows to detect the presenceof impact and inertial stock market volatility spillovers at different lags and to takeinto account the leptokurtosis of the commodity series. We then derive the profileof Volatility Impulse Responses of the stock markets to commodity shocks.
