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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American Institute of Physics Inc.
2016
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my.utm.732012017-11-29T23:58:42Z http://eprints.utm.my/id/eprint/73201/ Volatility spillover effect study in U.S. dollar and gold market based on bivariate-BEKK model Ping, P. Y. Ahmad, M. H. B. Ismail, N. B. QA Mathematics 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. American Institute of Physics Inc. 2016 Conference or Workshop Item PeerReviewed Ping, P. Y. and Ahmad, M. H. B. and Ismail, N. B. (2016) Volatility spillover effect study in U.S. dollar and gold market based on bivariate-BEKK model. In: 23rd Malaysian National Symposium of Mathematical Sciences: Advances in Industrial and Applied Mathematics, SKSM 2015, 24 November 2015 through 26 November 2015, Johor Bahru; Malaysia. https://www.scopus.com/inward/record.uri?eid=2-s2.0-84984576601&doi=10.1063%2f1.4954611&partnerID=40&md5=ff274b45390d4db784a7dc7f6ffa3ea5 |
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QA Mathematics Ping, P. Y. Ahmad, M. H. B. Ismail, N. B. Volatility spillover effect study in U.S. dollar and gold market based on bivariate-BEKK model |
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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. |
format |
Conference or Workshop Item |
author |
Ping, P. Y. Ahmad, M. H. B. Ismail, N. B. |
author_facet |
Ping, P. Y. Ahmad, M. H. B. Ismail, N. B. |
author_sort |
Ping, P. Y. |
title |
Volatility spillover effect study in U.S. dollar and gold market based on bivariate-BEKK model |
title_short |
Volatility spillover effect study in U.S. dollar and gold market based on bivariate-BEKK model |
title_full |
Volatility spillover effect study in U.S. dollar and gold market based on bivariate-BEKK model |
title_fullStr |
Volatility spillover effect study in U.S. dollar and gold market based on bivariate-BEKK model |
title_full_unstemmed |
Volatility spillover effect study in U.S. dollar and gold market based on bivariate-BEKK model |
title_sort |
volatility spillover effect study in u.s. dollar and gold market based on bivariate-bekk model |
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American Institute of Physics Inc. |
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2016 |
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http://eprints.utm.my/id/eprint/73201/ https://www.scopus.com/inward/record.uri?eid=2-s2.0-84984576601&doi=10.1063%2f1.4954611&partnerID=40&md5=ff274b45390d4db784a7dc7f6ffa3ea5 |
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13.18916 |