Volatility Dynamics of Precious Metals: Evidence from Russia
Kirkulak-Uludag, Berna; Lkhamazhapov, Zorikto
Year: 2017 Volume: 67 Issue: 4 Pages: 300-317
Abstract: This paper examines the volatility dynamics of four precious metals (gold, silver, platinum, and palladium) that are traded in Russia from 2000 to 2014. More specifically, it focuses on the following issues: (i) Presence of long memory property and structural breaks in returns and volatility series of precious metals by deploying semi-parametric methods and modified ICSS algorithm; and (ii) Correlation levels among precious metals by using DCC-MGARCH approach. The findings show that there is strong evidence of long memory property in the conditional volatility of all precious metals. Concerning the dynamic constant correlation, precious metals are highly correlated with each other. Although gold is the least volatile metal, the correlation increases significantly when it is paired with other precious metals. The findings further suggest that silver can be a good diversifier investment due to its low correlation with other precious metals.
JEL classification: C22, G14, C58, L61
Keywords: precious metals; Russia; long memory; structural breaks; volatility spillover, DCC-MGARCH
RePEc: https://ideas.repec.org/a/fau/fauart/v67y2017i4p300-317.html
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