Time-variation between metal commodities and oil, and the impact of oil shocks: GARCH-MIDAS and DCC-MIDAS analyses

Extant literature establishes co-movements among commodity (metal and oil) prices; whereas oil price/shocks aggregate, as a lone predictor, has relative predictability for most financial assets. We assess the of Baumeister Hamilton's (2019) decomposed shocks (economic activity shocks, consumption demand inventory supply shocks) conditional volatilities prominently traded precious metals (gold, palladium, platinum, silver) using GARCH-MIDAS-X framework. The asymmetric effect on metals' is examined. DCC-MIDAS framework allows to investigate correlations volatility between metal prices. Results show that exhibit hedging potentials against with heterogeneity observed in metal-oil nexus. Asymmetry evident responses shocks. results reveal significant dynamic prices (except platinum). Our are robust (sensitive) (oil proxies. findings insightful market stakeholders.