Price volatility in the silver spot market: An empirical study using Garch applications
نویسندگان
چکیده
This paper examines the price volatility in the silver spot (cash) market. A host of Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models are used to analyze and gain a better understanding of the volatility of silver prices. We find the TGARCH (1,1) model indicates that both positive and negative shocks do not have a significant effect on volatility in the silver spot market, while both the GARCH (1,1) and EGARCH (1,1) models indicate that past silver spot price volatility is significant and that volatility is observed to not be constant over time. This study has implications for both practitioners and academic researchers interested in price volatility in the silver spot market.
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