Volatility Spillover: Garch Analysis of S&P 500’s Influence on Precious Metals-Reference-Cited by-同舟云学术

Volatility Spillover: Garch Analysis of S&P 500’s Influence on Precious Metals

Published:2024-05-01 Issue:2 Volume:13 Page:187-211
ISSN:2336-9205
Container-title:Journal of Central Banking Theory and Practice
language:en
Short-container-title:

Author:

Duran Edo¹,Grubisic Zoran²,Lazic Milena³

Affiliation:

1. Ernst & Young , Stockholm , Sweden

2. Belgrade Banking Academy, Faculty of Banking, Insurance and Finance , Belgrade , Serbia

3. Institute of Economic Sciences , Belgrade , Serbia

Abstract

Abstract In this study, the volatility spillovers from the S&P 500 to the precious metals (gold, silver and platinum) are investigated. By using the TGARCH and DCC GARCH model, the evidence is found that there are spillovers between the S&P 500 and these global commodity markets. However, there are some differences in times of crises which have occurred during the observed 15 years (global economic crisis, debt crisis and corona crisis). In the case of gold, despite extreme volatility, there is no clear evidence of the specific influence of the crises. In contrast, silver and platinum showed clearer situations, both demonstrating significant increases in correlation with the S&P 500 index during global economic crises.

Publisher

Walter de Gruyter GmbH

Link

https://www.sciendo.com/pdf/10.2478/jcbtp-2024-0018

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