Koulis, Alexandros and Kyriakopoulos, Constantinos (2023) On Volatility Transmission between Gold and Silver Markets: Evidence from A Long-Term Historical Period. Computation, 11 (2). p. 25. ISSN 2079-3197
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Abstract
Several studies estimate the volatility spillover effects between gold and silver returns, but none of them used the implied volatility to evaluate the long-term relationship between these two metal markets. Our paper aims to fill this gap in the existing literature. This paper investigates the long-term volatility transmission between gold and silver; by using GARCH and VAR modelling, it finds that the volatility transmission from gold to silver is unidirectional. Volatility strategies using options can be designed to take advantage of this especially in times where the volatility transmission is not captured by the markets. Additionally, the results appear to be useful for gaining better portfolio diversification benefits. Investors, for instance, could use the results of this study for making proper investment decisions during the period of economic down-turns or inflation surges.
Item Type: | Article |
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Subjects: | South Asian Library > Computer Science |
Depositing User: | Unnamed user with email support@southasianlibrary.com |
Date Deposited: | 09 Jun 2023 06:16 |
Last Modified: | 18 Jun 2024 07:31 |
URI: | http://journal.repositoryarticle.com/id/eprint/976 |