Dynamic volatility connectedness between industrial metal markets

Combined with the spillover framework of Diebold and Yilmaz (2009, 2012, 2014) and the TVP-VAR-SV model of Primiceri (2005), this paper studies the dynamic volatility connectedness be-tween six major industrial metal (i.e., aluminum, copper, lead, nickel, tin and zinc) spot and futures markets. The results show that: (1) The total volatility connectedness between industrial metal spot or futures markets has three obvious cyclical change periods with a higher connect-edness level; (2) The net connectedness of zinc and copper with other metals has been at a high positive level for a long time, which indicates the two metal markets dominate the industrial metal market; (3) Zinc exhibits the strongest volatility spillovers, while tin exhibits the weakest volatility spillovers, no matter in spot markets or futures markets; (4) The connectedness of realized skewness and kurtosis have similarity with volatility connectedness but the spillover effects of skewness and kurtosis are not as obvious as the volatility spillover effects.