<abstract xmlns="http://www.w3.org/1999/xhtml">

<p>In this study, the volatility spillovers from the S&amp;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&amp;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&amp;P 500 index during global economic crises.</p>
</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.

Volatility Spillover: Garch Analysis of S&amp;P 500’s Influence on Precious Metals

Journal of Central Banking Theory and Practice

This work is licensed under the Creative Commons Attribution 4.0 International License.

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

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...

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

Pubblicato online: 07 giu 2024

Pagine: 187 - 211

Ricevuto: 27 mag 2023

Accettato: 25 ott 2023

DOI: https://doi.org/10.2478/jcbtp-2024-0018

Parole chiave
Spillover, Commodity markets, GARCH, crisis

© 2024 Edo Duran et al., published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 International License.

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

Pubblicato online: 07 giu 2024

Pagine: 187 - 211

Ricevuto: 27 mag 2023

Accettato: 25 ott 2023

DOI: https://doi.org/10.2478/jcbtp-2024-0018

Parole chiaveSpillover, Commodity markets, GARCH, crisis

© 2024 Edo Duran et al., published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 International License.

Parole chiave
Spillover, Commodity markets, GARCH, crisis