Volatility Spillover and Volatility Persistence in Precious Metals─GARCH and FIGARCH Model

• Main Authors: Jou-Han Chen, 陳柔涵
• Other Authors: Jung-Ju Lin
• Format: Others
• Language: zh-TW
• Published: 2015
• Online Access: http://ndltd.ncl.edu.tw/handle/ys8tx4

碩士 === 國立臺北商業大學 === 財務金融研究所 === 103 === This study uses three models of the GARCH family to examine the volatility transmission, volatility spillovers and leverage effects for four major precious metals (gold, silver, platinum and palladium), while accounting for the macroeconomic shocks of US exchange rate, S&P500 Index , US T-bond interest rate and VIX index. Daily returns are used in the analysis and are calculated using closing spot prices for the Jan. 4, 2000 to Nov. 6, 2014 period. The (E)GARCH results support that the returns of gold, silver and platinum are negatively impacted by US T-bond rate, and the volatility transmission takes place from the change of interest rate to the precious metal markets except palladium. On the other hand, the returns of silver, platinum and palladium are positively impacted by quantitative easing (QE). Additionally, since gold and silver are international reserve assets, US exchange rate shocks have dampening effects on gold and silver whereas heightening effects on palladium. These results point to differences between palladium and other three precious metals. Precious metals are too distinct to be considered a single asset class. The 2008 Subprime Mortgage Crisis heightens precious metal volatility. The EGARCH results suggest that the leverage effect is present and significant for palladium only, implying that silver can be good investment in anticipation of bad times. The evidence shows that the volatility processes of the four precious metals exhibit long-memory properties. The volatility of palladium exhibits the highest long- memory and platinum exhibits the shortest one. Not only does these four precious metals affected by shocks in short run but also gradually decayed as time passes.