EXTREMAL DEPENDENCIES ON COMMODITY FUTURES MARKETS

The aim of this study was to assess dependencies between extreme rates of return from commodity futures contracts on selected markets in the years 2000-2018. In periods of upheavals and turbulences, in markets for investors and portfolio management, it is crucial to estimate the probability of risk factors simultaneously taking extreme values. The analyses were conducted on dependencies between extreme rates of return (asymptotic dependencies) on markets of futures contracts for energy, metals and agricultural products in the years 2000-2018, applying the Copula-ARMA-GARCH models and tail dependence coefficients. Relatively strong and permanent asymptotic dependencies were found for pairs of futures contracts for crude oil and heating oil, while either no such dependencies were observed or only appeared during the subprime crisis and assumed very low values for other energy pairs of futures contracts and pairs of agricultural futures contracts, in which at least one of the contracts was concluded for soft commodities