Dynamic effects of the global common volatility on precious metals and energy markets: Fourier quantile-on-quantile and Fourier quantile regressions

We explore the dynamic effects of the global common volatility (GCV) on selected precious metals and energy commodities by employing the two advanced econometric methods: Fourier quantile-on-quantile regression and Fourier quantile regression. GCV induces volatility across gold, silver, and platinum markets in the short-, medium-, and long-term. However, short-term volatility in the silver market exhibits a negative relationship with GCV under both bearish and bullish conditions. Additionally, the oil, gas, and heating oil markets experience substantial losses due to GCV, with the impact intensifying from the short-to long-term across various market states. Moreover, the COVID-19 crisis and the ongoing Russia–Ukraine conflict have markedly strengthened volatility in precious metal and energy markets, reflecting an elevated level of GCV. Nonetheless, the natural gas markets exhibit a negative long-run relationship with GCV during the Russia-Ukraine conflict. Overall, our results underscore a strong interconnectedness between GCV and precious metals and energy markets, highlighting significant risks that global financial market volatility poses to these sectors.