Volatility Spillover: Garch Analysis of S&P 500's Influence on Precious Metals

Duran, Edo and Grubišić, Zoran and Lazić, Milena (2024) Volatility Spillover: Garch Analysis of S&P 500's Influence on Precious Metals. Journal of Central Banking Theory and Practice, 13 (2). pp. 187-211. ISSN 1800-9581

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Abstract

In this study, the volatility spillovers from the S&P 500
to the precious metals (gold, silver and platinum) are investigated.
By using the TGARCH and DCC GARCH model, the evidence is
found that there are spillovers between the S&P 500 and these global
commodity markets. However, there are some differences in times
of crises which have occurred during the observed 15 years (global
economic crisis, debt crisis and corona crisis). In the case of gold, despite
extreme volatility, there is no clear evidence of the specific influence
of the crises. In contrast, silver and platinum showed clearer
situations, both demonstrating significant increases in correlation
with the S&P 500 index during global economic crises.

Item Type:	Article
Additional Information:	COBISS.ID=146913545
Uncontrolled Keywords:	spillover, commodity markets, GARCH, crisis
Research Department:	Macroeconomics
Depositing User:	Jelena Banovic
Date Deposited:	13 Jun 2024 10:57
Last Modified:	13 Jun 2024 10:57
URI:	http://35.240.28.64/id/eprint/2049
Author Links:	[error in script] No links available.

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