Abstract
This study examines the volatility transmission for the traded commodities: precious metals
(that is, gold and platinum) and crude oil while accounting for volatility transmission between
the commodities and the FTSE/JSE Top 40 Index, as well as the USD/ZAR exchange rate
within a multivariate system. In order to investigate the volatility transmission, the two
Multivariate GARCH models, namely CCC-MGARCH and BEKK- MGARCH were employed
on daily data from 1 January 2012 to 31 December 2017. The findings indicated that there
were persistent volatility effects for individual markets, suggesting that strong ARCH and
GARCH effects were present in the data. The ARCH and GARCH estimates of conditional
variance were statistically significant and the conditional correlations between the volatility of
precious metals, crude oil, the real exchange rate, and the stock exchange were significant as
well. The empirical results indicated an existence of significant shock and volatility
transmission across commodities and FTSE/JSE Top 40 Index, as well as between the South
African Rand (against the United States Dollar) and the commodities, however, the amount of
volatility interactions differs from one market to another.
M.Com. (Finance)