Eficiencia adaptativa y volatilidad asimétrica en mercados globales de commodities

Agustín Burgos-Baena; Ana Isabel Irimia-Dieguez; Felix Jiménez-Naharro

doi:10.21919/remef.v21i4.1563

Authors

Agustín Burgos-Baena Universidad de Sevilla https://orcid.org/0000-0001-5479-4318
Ana Isabel Irimia-Dieguez Universidad de Sevilla https://orcid.org/0000-0003-1931-3544
Felix Jiménez-Naharro https://orcid.org/0000-0001-9217-2624

DOI:

https://doi.org/10.21919/remef.v21i4.1563

Keywords:

Inflationary Stress., Adaptive Market Hypothesis, Efficient Market Hypothesis, Commodities

Abstract

This study evaluates weak-form efficiency and volatility dynamics across 14 commodities during the 2022–2024 inflationary stress period. The methodology employs a two-stage approach: the 1999–2022 period is used for model training, and the 2022–2024 period for out-of-sample analysis, based on ARIMA-EGARCH models with a skewed Student's t-distribution and validated through VaR backtesting. The results confirm that efficiency varies according to asset liquidity and reveal persistent, asymmetric volatility with a leverage effect. Consequently, adopting asymmetric models is recommended to achieve more precise risk management in contexts of high uncertainty. The limitations of the study are restricted to the univariate use of daily closing prices, omitting exogenous variables, which impacts the parameterization of extreme portfolios. Its originality lies in utilizing the 2022–2024 period as a natural experiment of global systemic stress. Finally, the study concludes that the EGARCH model is superior for preserving financial stability by demonstrating the coexistence of unpredictable prices and predictable risks.

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Adaptive Efficiency and Asymmetric Volatility in Global Commodity Markets

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