Minerals and Natural Resources Commodities Dataset

This study explores the time-varying predictability of popular calendar patterns prevailing in mineral and natural resource commodities traded at the Chicago Board of Options Exchange (CBOE) from 1988 to 2023. Utilizing the Adaptive Market Hypothesis (AMH), six equal-length sub-samples, a rolling window analysis, and the GARCH (1,1) model, we observe calendar patterns in mineral and natural resource commodity investments, while AMH best explains their behaviour. The presence of calendar patterns induces profit opportunities for investors. The DCC-GARCH model shows that the losses from investment in natural resources during a downturn in the market can be offset by price fluctuations of minerals, which provides superior hedging effectiveness. For robustness, we have also used the TVP-VAR model and observed that natural and mineral resource investments are net receivers of innovations in returns and volatility; however, the connectedness among them has been weak.