Click to login and read the full article.
Don’t have access? Click here to request a demo
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600
Abstract
The increased volatility of precious metals and other commodities has become more commonplace because of the volatile global economic environment. This study examines the relationship between market volatility and precious metals. VIX Index, which reflects investor’s sentiments, is used as a proxy for market volatility. From the results, it is evident that the spillover of volatility from the VIX Index occurs for all precious metals. This effect, however, is asymmetric for only silver and platinum. In addition, once the volatility spillover occurs, disequilibrium from changes in the VIX Index for copper is corrected with a lag; it takes a much longer time for disequilibrium to be corrected for gold, silver, and platinum for volatile time periods. For calm periods, the impact of VIX Index on precious metals is muted.
TOPICS: Commodities, volatility measures
Key Findings
• Market volatility or VIX Index has a profound impact on precious metals.
• Volatility spillover is asymmetric for silver and platinum.
• Disequilibrium from changes in VIX Index for copper is quickly corrected, whereas it takes longer time to be corrected for gold, silver, and platinum for volatile time periods; the effect is muted for calm periods.
- © 2020 Pageant Media Ltd
Don’t have access? Click here to request a demo
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600