THE EXCESS CO-MOVEMENT OF COMMODITY PRICES RECONSIDERED

This paper provides an empirical reconsideration of evidence for exces s co-movement of commodity prices within the framework of univariate a nd multivariate GARCH(1,1) models, Alternative formulations of zero ex cess co-movement are provided, and corresponding score and likelihood ratio tests are developed, Monthly time series data for two sample per iods, 1960-85 and 1974-92, on up to nine commodities are used, In cont rast to earlier work, only weak evidence of excess co-movement is foun d.