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Do Higher Asymmetry Threshold Effects Exist on the Gold Return Volatility during Highly Fluctuating Periods?

Author

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  • Yu-Hui Liao

    (Department of Business Administration, National Taipei University, New Taipei City 23741, Taiwan)

  • Yeong-Jia Goo

    (Department of Business Administration, National Taipei University, New Taipei City 23741, Taiwan)

Abstract

The GJR-GARCH model is frequently used by researchers and academic institutions. However, the model conveys limited information, using zero as a threshold without considering other possible thresholds. This study shows that a favorable econometric model could be formed by constructing a hybrid momentum HMTAR-GARCH model. Our findings indicate that higher asymmetry momentum threshold effects exist on the gold return volatility during highly fluctuating periods. Sustainable Enterprise Resource Planning (S-ERP) systems could help in the formation of a good risk management strategy by using the HMTAR-GARCH model. Perhaps gold is more sustainable than many other financial assets in the creation of an investment portfolio.

Suggested Citation

  • Yu-Hui Liao & Yeong-Jia Goo, 2019. "Do Higher Asymmetry Threshold Effects Exist on the Gold Return Volatility during Highly Fluctuating Periods?," Sustainability, MDPI, vol. 11(18), pages 1-14, September.
    • Handle: RePEc:gam:jsusta:v:11:y:2019:i:18:p:4829-:d:264005
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