Assessing the asymmetric volatility linkages of energy and agricultural commodity futures during low and high volatility regimes

Anthony Rezitis, Panagiotis Andrikopoulos, Theodoros Daglis

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This study investigated the volatility linkages between energy and agricultural futures, including possible causes for these co-movements, such as external macroeconomic and financial shocks during low and high volatility regimes. A combination of Markov-switching regressions and quadrivariate VAR-DCC-GARCH and VAR-BEKK-GARCH modelling revealed that external shocks have an asymmetric effect on the relationship of these assets with higher cross-correlations reported during high volatility regimes. This co-movement effect outweighs the substitution effect between energy and agricultural products. Furthermore, the quadrivariate VAR-BEKK-GARCH model provides strong evidence of a bidirectional price volatility spillover between the agricultural and energy markets during periods of high volatility. Overall, the results suggest that energy futures can be effectively used for hedging in a portfolio comprising agricultural futures (and vice versa), while a combination of macroeconomic and financial index futures can serve as an effective hedging tool in investment portfolios comprising both energy and agricultural commodities.
Original languageEnglish
Pages (from-to)451-483
Number of pages33
JournalThe Journal of Futures Markets
Issue number3
Early online date25 Dec 2023
Publication statusPublished - 1 Apr 2024

Bibliographical note

This is an open access article under the terms of the Creative Commons Attribution License, which permits use, distribution and reproduction in any medium, provided the original work is properly cited.

© 2023 The Authors.The Journal of Futures Markets published by Wiley Periodicals LLC.


  • agricultural futures
  • energy futures
  • hedging strategies
  • Markov‐switching regression
  • volatility

ASJC Scopus subject areas

  • Finance
  • Economics, Econometrics and Finance (miscellaneous)
  • Energy (miscellaneous)


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