<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

Data publikacji: 07 cze 2024

Zakres stron: 187 - 211

Otrzymano: 27 maj 2023

Przyjęty: 25 paź 2023

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

Słowa kluczowe
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

Data publikacji: 07 cze 2024

Zakres stron: 187 - 211

Otrzymano: 27 maj 2023

Przyjęty: 25 paź 2023

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

Słowa kluczoweSpillover, 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.

Słowa kluczowe
Spillover, Commodity markets, GARCH, crisis