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Volatility Spillover: Garch Analysis of S&P 500's Influence on Precious Metals

Author

Listed:
  • Edo Duran

    (Ernst & Young, Stockholm, Sweden)

  • Zoran Grubisic

    (Belgrade Banking Academy, Faculty of Banking, Insurance and Finance, Belgrade, Serbia)

  • Milena Lazic

    (Institute of Economic Sciences, Belgrade, Serbia)

Abstract

In this study, the volatility spillovers from the S&P 500 to the precious metals (gold, silver and platinum) are investigated. By using the TGARCH and DCC GARCH model, the evidence is found that there are spillovers between the S&P 500 and these global commodity markets. However, there are some differences in times of crises which have occurred during the observed 15 years (global economic crisis, debt crisis and corona crisis). In the case of gold, despite extreme volatility, there is no clear evidence of the specific influence of the crises. In contrast, silver and platinum showed clearer situations, both demonstrating significant increases in correlation with the S&P 500 index during global economic crises.

Suggested Citation

  • Edo Duran & Zoran Grubisic & Milena Lazic, 2024. "Volatility Spillover: Garch Analysis of S&P 500's Influence on Precious Metals," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 13(2), pages 187-211.
    • Handle: RePEc:cbk:journl:v:13:y:2024:i:2:p:187-211
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    References listed on IDEAS

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    More about this item

    Keywords

    Spillover; Commodity markets; GARCH; crisis.;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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