On Volatility Transmission between Gold and Silver Markets: Evidence from A Long-Term Historical Period

نویسندگان

چکیده

Several studies estimate the volatility spillover effects between gold and silver returns, but none of them used implied to evaluate long-term relationship these two metal markets. Our paper aims fill this gap in existing literature. This investigates transmission silver; by using GARCH VAR modelling, it finds that from is unidirectional. Volatility strategies options can be designed take advantage especially times where not captured Additionally, results appear useful for gaining better portfolio diversification benefits. Investors, instance, could use study making proper investment decisions during period economic down-turns or inflation surges.

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ژورنال

عنوان ژورنال: Computation (Basel)

سال: 2023

ISSN: ['2079-3197']

DOI: https://doi.org/10.3390/computation11020025