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Modeling volatility of precious metals markets by using regime-switching GARCH models

  • Published:2019-12 Issue: Volume:64 Page:101497
  • ISSN:0301-4207
  • Container-title:Resources Policy
  • language:en
  • Short-container-title:Resources Policy

Author:

Naeem Muhammad,Tiwari Aviral Kumar,Mubashra Sana,Shahbaz Muhammad

Publisher

Elsevier BV

Subject

Law,Management, Monitoring, Policy and Law,Economics and Econometrics,Sociology and Political Science

Reference45 articles.

1. Regime changes and financial markets;Ang;Annu. Rev. Financ. Econ.,2012

2. Forecasting risk with Markov-switching GARCH models: a large-scale performance study;Ardia;Int. J. Forecast.,2018

3. Markov-switching GARCH models in R: the MSGARCH package;Ardia;J. Stat. Softw.,2018

4. Regime changes in Bitcoin GARCH volatility dynamics;Ardia;Financ. Res. Lett.,2019

5. Long memory and structural breaks in modeling the return and volatility dynamics of precious metals;Arouri;Q. Rev. Econ. Financ.,2012

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