Dataset: Garman-Klass volatility and speculation index of oil, repeseed, maize, sugar and wheat over 2010-2024 and risk factors

GK_america: Garman Klass estimator of WTI oil, maize, rapeseed, wheat, sugar over 2010-2024; GK_europe: Garman Klass estimator of Brent oil, maize, rapeseed, wheat, sugar over 2010-2024; explanatory_variables: • SH: oil supply shock - obtained from Baumeister and Hamilton (2019);• oil demand shocks (Baumeister and Hamilton 2019): OCDSH (oil consumptiondemand shock), OIDSH (oil inventory demand shock), and EASH (oil demandshock driven by global economic activity);• COMM: real commodity price factor - obtained from Baumeister and Guérin(2021), a common factor extracted from a panel of real commodity prices;• GPR: geopolitical risk index developed by Caldara and Iacoviello (2022). Datawas downloaded from https://www.matteoiacoviello.com/gpr.htm;• DWIP: changes in world industrial production index obtained from Baumeisterand Hamilton (2019). WIP is a monthly index of industrial production coveringthe OECD countries and six major emerging markets; DWIP is included in themodel due to the non-stationarity of the WIP;• DSPEC: a measure of speculation in the commodity derivatives market calculatedas the changes of the ratio of volume to open interest in futures contracts (Robleset al. 2009).