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PATTERNS OF VOLATILITY IN COMMODITY MARKETS OF BRICS: UNVEILING THE STORY OF SYMMETRIC AND ASYMMETRIC GARCH MODELS
Keywords:
BRICS; commodity markets; volatility; GARCH models; structural breaksDOI:
https://doi.org/10.17654/0972086325019Abstract
This study investigates the volatility patterns in commodity markets across BRICS nations (Brazil, Russia, India, China, and South Africa), focusing on the dynamics revealed by symmetric and asymmetric GARCH models. By analyzing daily price data for key commodities, the research identifies significant structural breaks in the period 2015-2024, corresponding to major geopolitical events, economic policy changes, and supply-demand shocks. The findings show that BRICS commodity markets are highly sensitive to external disruptions, with natural gas and metals exhibiting pronounced volatility. Cointegration tests confirm persistent long-term relationships among commodity prices, indicating underlying market mechanisms that stabilize prices despite short-term turbulence. Symmetric GARCH models capture overall volatility, while asymmetric models (EGARCH, GJR-GARCH) reveal that negative shocks often have a greater impact on price fluctuations than positive shocks, though both are significant. The investigation emphasizes the value of robust volatility modeling for risk management and policy formulation, recommending the adoption of EGARCH-based surveillance systems and transparent reporting to mitigate systemic risks and enhance market stability. These insights are crucial for investors, policymakers, and regulators aiming to navigate the complexities of BRICS commodity markets in an increasingly multipolar and interconnected global economy.
Keywords: BRICS; commodity markets; volatility; GARCH models; structural breaks
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