Crisis Effects on Relations between US Commodities Futures: An E-garch Approach

This paper estimates the nexus among gold futures, crude oil WTI futures, and natural gas futures before and after the global financial crisis’ outburst. Weekly data are employed and estimations are applied during two sub-periods by using a Nelson’s Exponential Generalized Autoregressive Conditional Heteroskedasticity (E-GARCH) approach in order to test for asymmetries in volatilities. Results provide evidence of significant effects of gold price on oil and gas price volatility in an exponential way, but reverse causality does not hold. Moreover, oil prices are found to depend on gas prices.