Dynamic Volatility Transmission Across Oil, Gold, the U.S. Dollar, and Thai Equities: Evidence from a Bayesian TVP-VAR with Stochastic Volatility

This study examines dynamic volatility transmission among WTI crude oil, gold, the U.S. Dollar Index (DXY), and the Stock Exchange of Thailand (SET) using a Bayesian TVP-VAR-SV framework. Using 4,206 daily observations from 2008 to 2025, the study combines generalized forecast-error variance decomposition, dynamic connectedness, directional measures, generalized impulse responses, and crisis-regime analysis. Volatility connectedness intensifies markedly during financial stress, with the Global Financial Crisis (GFC) recording the highest mean TCI (3.0522), compared with 1.6598 during Normal periods. Gold emerges as the dominant net transmitter during the GFC, while the USD becomes the strongest receiver, with Gold-to-Oil, Gold-to-USD, and Gold-to-SET transmission also increasing substantially. GIRF results further show that Gold shocks generate immediate responses across markets but attenuate rapidly, indicating strong yet short-lived transmission. Importantly, market roles are state dependent: during the GFC, gold becomes a major transmitter within a financial-system crisis, whereas during the Russia–Ukraine episode, gold becomes a receiver and the USD a transmitter amid geopolitical and real-economy shocks. These findings highlight that both the direction and persistence of volatility transmission depend on the nature of the underlying shock.