This study supplements previous regime-switching studies on WTI crude oil and finds two possible volatility regimes for the strategic commodity prices of Brent oil, WTI oil, copper, gold and silver, and the S&P 500 index, but with varying high-to-low volatility ratios. The dynamic conditional correlations (DCCs) indicate increasing correlations among all the commodities since the 2003 Iraq war but decreasing correlations with the S&P 500 index. The commodities also show different volatility persistence responses to financial and geopolitical crises, while the S&P 500 index responds to both financial and geopolitical crises. Implications are discussed. (C) 2010 Elsevier Ltd. All rights reserved.