Volatility Transmissions in Precious Metals Using Volatility Impulse Response Function Approach

Abstract

In this paper, we investigate volatility transmition between four precious metal (gold, silver, platinum, palladium) using a multivariate GARCH model. We also investigate effect of shocks on precious metals using volatility impulse response function. The results of the VAR (1) -BEKK (1,1) using weekly data estimated price is four precious metal, showed relatively high correlation between yields and volatility of these metals with each other there. Also, the analysis of the volatility impulse response Function Graphs of four precious metals showed that the gold and silver volatility had almost the same behavior in the face of the impasse of the financial crisis of 2008. The results of this research, especially for investors in global markets, can be very important.

Keywords

• return
• volatility
• volatility impulse response function
• precious metals