Return Volatility Spread in Commodity Volatility Indices: Spot and Future Market Research
نویسندگان
چکیده
Volatility Indices are an important indicator for investors to accurately predict returns and risks in case of uncertainty the markets. In this study, effects gold, silver, oil volatility indices (GVI, SVI OVI) on both spot futures assets were investigated using VAR-EGARCH procedure. The findings study reveal that GVI gold prices have a positive effect prices. At same time, it has been determined obtained from On other hand, although future effective silver prices, only lagged futures. Finally, OVI ineffective
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ژورنال
عنوان ژورنال: The economics and finance letters
سال: 2022
ISSN: ['2312-430X', '2312-6310']
DOI: https://doi.org/10.18488/29.v9i2.3071