EVALUATION OF VOLATILITY OF WORLD COMMODITY PRICES INDEXES
Journal Title: Інфраструктура ринку - Year 2018, Vol 18, Issue
Abstract
The article assesses the volatility of commodity prices indexes using the GARCH model. The increased volatility of the world price for crude oil, which determines the instability of the general commodity prices index, is revealed. A correlation analysis of the connection between the individual main commodity segments of the world market of raw materials was conducted. It is established that with the general commodity prices index, the prices of metal and crude oil are most correlated, while the least correlated are the prices of beverages.
Authors and Affiliations
U. M. Nikonenko
Keywords
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