Asymmetric volatility in commodity markets

The paper studies the return–volatility relationship in a range of commodities. We develop commodity price model and show that volatility changes can be positively or negatively related to demand shocks. An “inverse leverage effect”—the is higher following positive shocks—is found more than half daily spot prices. effect weaker three-month futures market, period after mid-2000s monthly historical measures. Only crude oil exhibits “leverage effect”—higher follows negative shock—and reason explored context its special market structure.