Understanding volatility transmissions amongst commodity futures and the stock market is integral for risk management. In this study, we investigate the time-varying volatility spillovers amongst nine major commodity futures and the US S&P 500 index across three decades. We also analyse the changing dynamics in volatility transmissions during major crises ranging from the Asian Financial crisis, the global financial crisis and the Covid pandemic-induced crisis. We use the TVP-VAR-SV model (Primiceri, 2005) to calculate the time-varying volatility spillovers via the DY-spillover index (Diebold and Yilmaz, 2008, 2012). We find evidence for significant volatility spillovers from SPX to energy futures and gold that exacerbates during crises. Natural gas remains a net transmitter of volatility to crude and heating oil, consistent with the literature that gas prices have decoupled from oil prices. Gold futures continue to function as safe-haven assets receiving significant volatility from SPX and energy futures. The pandemic-induced crisis and the consequent supply chain disruptions resulted in historical levels of volatility transmissions from lumber to natural gas futures that were not observed during earlier crises.

Keywords: Volatility spillover indices, TVP-VAR-SV, Bayesian Sampling, crises