Volatility Spillovers Between Financial Asset and Commodity Prices: Evidence from Türkiye

This study examines volatility spillover effects among key commodities, the USD/TRY exchange rate, and the Borsa Istanbul (XU100) using CCC-GARCH and DCC-GARCH models to overcome ARCH model limitations. Analyzing daily data from 2010 to 2023, the results reveal significant short-term volatility clustering, especially influenced by recent price shocks. Long-term spillovers are notable, with persistent volatility connections indicated by high GARCH terms. Correlation analysis shows moderate positive correlations between Gold and Silver with XU100, while Crude Oil and Natural Gas exhibit weak correlations, suggesting limited short-term spillovers. A significant negative correlation exists between USD_TRY and XU100, highlighting the complex relationship between currency and stock market volatility. Overall, short-term spillovers are weak, but long-term relationships show strong persistence, especially regarding USD_TRY and Natural Gas. These findings stress the importance of nuanced volatility-based trading strategies during market turbulence and suggest that fund managers should consider investor behavior and biases when building portfolios.