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The asymmetric volatility in the gold market revisited

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  • Todorova, Neda

Abstract

Based on 13.5 years of intraday data, this paper sheds light on the inverse asymmetric volatility effect inherent in the gold market. After decomposing realized volatility into positive and negative semivariance, rolling estimations of the HAR model uncover the relative importance of the long-term positive semivariance and reveal the dynamics of the individual volatility components over time. Two effects are identified: The relevance of the short-term negative semivariance is rather pervasive while the impact of the positive semivariance is strongly correlated with the overall development of the gold market. The asymmetric nature of gold price volatility is multi-faceted and hence more complex than previously documented.

Suggested Citation

  • Todorova, Neda, 2017. "The asymmetric volatility in the gold market revisited," Economics Letters, Elsevier, vol. 150(C), pages 138-141.
    • Handle: RePEc:eee:ecolet:v:150:y:2017:i:c:p:138-141
    DOI: 10.1016/j.econlet.2016.11.027
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    Cited by:

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    7. Maki, Daiki & Ota, Yasushi, 2021. "Impacts of asymmetry on forecasting realized volatility in Japanese stock markets," Economic Modelling, Elsevier, vol. 101(C).
    8. Bentes, Sónia R., 2022. "On the stylized facts of precious metals’ volatility: A comparative analysis of pre- and during COVID-19 crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 600(C).
    9. Chang, Meng-Shiuh & Kung, Chih-Chun & Chen, Meng-Wei & Tian, Yuan, 2021. "Volatility regime, inverted asymmetry, contagion, and flights in the gold market," Pacific-Basin Finance Journal, Elsevier, vol. 67(C).
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    12. Daiki Maki & Yasushi Ota, 2020. "The impacts of asymmetry on modeling and forecasting realized volatility in Japanese stock markets," Papers 2006.00158, arXiv.org.
    13. Chang, Meng-Shiuh & Ju, Peijie & Liu, Yilei & Hsueh, Shao-Chieh, 2022. "Determining hedges and safe havens for stocks using interval analysis," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).

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    More about this item

    Keywords

    Gold futures; Realized volatility; Semivariance; Volatility asymmetry; HAR model;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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