VOLATILITY SPILL OVER IN OIL, GOLD AND EXCHANGE RATE (US DOLLARS-EURO) MARKETS

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DEHGHANI MANOUCHEHR; KHIABANI NASER

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Journal: Journal of Economic Research and Policies Year:2015 | Volume:22 | Issue:72 Page(s): 127-154

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Information Journal Paper

Title

VOLATILITY SPILL OVER IN OIL, GOLD AND EXCHANGE RATE (US DOLLARS-EURO) MARKETS

Author(s)

DEHGHANI MANOUCHEHR | KHIABANI NASER | Issue Writer Certificate

Keywords

CRUDE OILQ2

GOLDQ1

USA DOLLARQ2

ASYMMETRYQ2

BEEKQ2

MULTIVARIATE GARCH ASYMMETRY MEANQ1

SPILLOVERSQ1

VOLATILITY SPILLOVERSQ1

Abstract

The purpose of this study is to evaluate and compare volatility and spillover effect among oil, GOLD and exchange rate (US Dollars-Euro) markets in last decade and the decade before 2003. Using weekly data from 1993 to 2012, this paper employs econometric methods like M.GARCH-ASY-M (Multivariate GARCH ASYMMETRY Mean) and BEEK model to estimate the volatility magnitude and spillover effects in markets mentioned, Results show the relationship between markets and their power for risk transferring is significantly affected by the news and volatility persistency in a market. The persistent increase in oil prices after 2003 causes a significant relationship between returns and augmentation of spillover transferring among oil, GOLD an exchange rate markets. So, this finding show how the news and information among markets can augment the relationship between returns and risk spillover magnitude. Finally, the strength of effects depends on the persistency of news flows from one market to another.

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APA: Copy

DEHGHANI, MANOUCHEHR, & KHIABANI, NASER. (2015). VOLATILITY SPILL OVER IN OIL, GOLD AND EXCHANGE RATE (US DOLLARS-EURO) MARKETS. JOURNAL OF ECONOMIC RESEARCH AND POLICIES, 22(72), 127-154. SID. https://sid.ir/paper/89415/en

Vancouver: Copy

DEHGHANI MANOUCHEHR, KHIABANI NASER. VOLATILITY SPILL OVER IN OIL, GOLD AND EXCHANGE RATE (US DOLLARS-EURO) MARKETS. JOURNAL OF ECONOMIC RESEARCH AND POLICIES[Internet]. 2015;22(72):127-154. Available from: https://sid.ir/paper/89415/en

IEEE: Copy

MANOUCHEHR DEHGHANI, and NASER KHIABANI, “VOLATILITY SPILL OVER IN OIL, GOLD AND EXCHANGE RATE (US DOLLARS-EURO) MARKETS,” JOURNAL OF ECONOMIC RESEARCH AND POLICIES, vol. 22, no. 72, pp. 127–154, 2015, [Online]. Available: https://sid.ir/paper/89415/en

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