Forecasting Volatility During the Outbreak of Russian Invasion of Ukraine: Application to Commodities, Stock Indices, Currencies, and Cryptocurrencies

We analyze the effects of the outbreak of the Russian-Ukrainian war on the volatility in commodity and financial markets. The Russian invasion sharply raised the volatility of most assets, however, the scale of reactions was market-specific and some markets exhibited a strong tendency to return to usual levels in a short time. We evaluate the forecasting accuracy of volatility models and find the superiority of the modified Range GARCH model. Our findings reveal also a specific nature of cryptocurrency markets, where the reaction to the outbreak of the war was very limited, being a sign of a safe haven investment.