The Hedging Ability of Gold, Silver and Bitcoin against Inflation in ASEAN Countries

This paper examines the hedging ability of gold, silver, and Bitcoin against inflation in ASEAN countries. The inclusion as a hedge is relatively new literature effect has been exacerbated post Global Financial Crisis, when prices precious metals have increased continuously. To serve that objective, student-t EGARCH (1,1) model first used to study relationship between average asset return next quantile regression applied explore different quantiles inflation. ensures potential each be equally strong bearish bullish conditions. tests show results from are while pre GFC similar most cases. model, which accounts for returns, indicates appear safe haven However, but none three assets serves