Fernando Filipin

This study assesses the dynamics of volatility and risk transmission among US agricul- tural commodity futures markets from 2015 to 2025, emphasizing the effects of exogenous shocks: the US-China trade war (2018-2019 and escalation in 2025), the COVID-19 pan- demic (2020-2021), and the Russia-Ukraine conflict (2022-2023). The central research question investigates whether tariffs, geopolitical shocks, and health shocks alter condi- tional volatility and systemic risk transmission in commodity returns. Weekly returns of the Bloomberg Commodity Index (BCOM) and its agricultural sub-indices (grains, livestock, agricultural products) and disaggregated contracts (corn, soybeans, live cat- tle, lean hogs) were studied using a multivariate DCC-GARCH model with marginal eGARCH(1,1) and Student’s t-residues to capture skewness, persistence, leptokurtosis, and dynamic correlations. Systemic and marginal risks are quantified using Conditional Value at Risk (CoVaR) and DeltaCoVaR, adjusted with Cornish-Fisher expansion for non- normality. Empirical findings validate the hypothesis. So, shocks induce regime shifts in correlations and increase tail risks. Volatility persistence is β > 0.8, with negative shocks amplifying variance, in other words, a positive leverage effect. Grains and soybeans ex- hibit contagion effects, with DeltaCoVaR peaks during the Russia-Ukraine war at 0.0436 and during COVID-19 at —0.0403. Bootstrap confidence intervals validate statistical significance. The results indicate intensified interconnectedness across commodities, par- ticularly during the U.S.–China trade war and the COVID-19 pandemic. These findings suggest that external shocks are associated with higher systemic risk within agricultural futures markets.