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Table 3 Averaged pairwise connectedness table

From: Realized volatility spillovers between energy and metal markets: a time-varying connectedness approach

 

Crude oil

Heating oil

Natural gas

Copper

Gold

Silver

Palladium

Platinum

Crude oil

100.00 (100.00)

86.97 (87.89)

19.47 (24.38)

37.91 (20.30)

31.75 (20.70)

29.06 (14.33)

24.13 (20.05)

35.01 (15.89)

Heating oil

86.97 (87.89)

100.00 (100.00)

20.58 (39.25)

35.21 (21.20)

29.50 (22.56)

27.65 (15.88)

21.77 (22.44)

32.81 (16.81)

Natural gas

19.47 (24.38)

20.58 (39.25)

100.00 (100.00)

13.35 (8.42)

15.22 (16.68)

13.68 (17.81)

9.90 (2.51)

12.52 (11.84)

Copper

37.91 (20.30)

35.21 (21.20)

13.35 (8.42)

100.00 (100.00)

45.68 (63.67)

44.54 (55.21)

32.85 (32.03)

39.71 (36.08)

Gold

31.75 (20.70)

29.50 (22.56)

15.22 (16.68)

45.68 (63.67)

100.00 (100.00)

80.11 (83.87)

36.95 (36.51)

59.72 (58.76)

Silver

29.06 (14.33)

27.65 (15.88)

13.68 (17.81)

44.54 (55.21)

80.11 (83.87)

100.00 (100.00)

36.79 (34.94)

56.15 (70.83)

Palladium

24.13 (20.05)

21.77 (22.44)

9.90 (2.51)

32.85 (32.03)

36.95 (36.51)

36.79 (34.94)

100.00 (100.00)

52.44 (49.19)

Platinum

35.01 (15.89)

32.81 (16.81)

12.52 (11.84)

39.71 (36.08)

59.72 (58.76)

56.15 (70.83)

52.44 (49.19)

100.00 (100.00)

  1. Results are based on a TVP-VAR model with a lag length of order one (BIC), \(\kappa _1=0.99\), \(\kappa _2=0.99\), and a 20-step-ahead generalized forecast error variance decomposition. Values in parentheses represent connectedness measures during the COVID-19 pandemic while others stand for the connectedness measures prior to the COVID-19 period