Volatility spillover effect study in U.S. dollar and gold market based on bivariate-BEKK model

As the interaction between international and domestic financial markets increases, the interaction between gold market and financial markets also increases. Today, the financial attributes of gold play a more evidence role in dominating the gold price. Taking into account time-varying and dynamic pr...

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Bibliographic Details
Main Authors: Ping, Pung Yean, Ahmad, Maizah Hura Binti, Ismail, Norazlina Binti
Format: Conference Proceeding
Language:English
Subjects:
Bivariate analysis
Gold
Gold markets
Markets
Variations
Volatility
Online Access:Get full text
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Summary:As the interaction between international and domestic financial markets increases, the interaction between gold market and financial markets also increases. Today, the financial attributes of gold play a more evidence role in dominating the gold price. Taking into account time-varying and dynamic properties of volatility spillover effect in the financial markets, this paper investigates the time-varying volatility relationship between gold markets and U.S. dollar by using the bivariate-BEKK. This paper also investigate whether gold volatility is significantly affected by its own pre-fluctuations, its aggregation and lasting properties, and the bi-directional volatility spillover between the gold market and U.S. dollar.
ISSN:0094-243X
1551-7616
DOI:10.1063/1.4954611