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Stylized Facts and Dynamic Modeling of High-frequency Data on Precious Metals

Author

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  • Caporin, Massimiliano
  • Ranaldo, Angelo
  • Velo, Gabriel G.

Abstract

Taking advantage of a trades-and-quotes database, the main stylized facts and dynamic properties of a time series related to spot precious metals, that is, gold, silver, palladium, and platinum, are documented. The behavior of spot prices, returns, volume, and selected liquidity measures is analyzed. A clear evidence of periodic patterns matching the trading hours of the most active markets, London, Zurich, New York, as well as Asian markets, is found. The time series of spot returns have thus properties similar to those of traditional financial assets with fat tails, asymmetry, periodic behaviors in the conditional variances, and volatility clustering. The empirical analyzes show, as expected, that gold is the most liquid and less volatile asset, whereas palladium and platinum are traded less.

Suggested Citation

  • Caporin, Massimiliano & Ranaldo, Angelo & Velo, Gabriel G., 2013. "Stylized Facts and Dynamic Modeling of High-frequency Data on Precious Metals," Working Papers on Finance 1318, University of St. Gallen, School of Finance.
    • Handle: RePEc:usg:sfwpfi:2013:18
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    File URL: http://ux-tauri.unisg.ch/RePEc/usg/sfwpfi/WPF-1318.pdf
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    References listed on IDEAS

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    More about this item

    Keywords

    precious metals; high-frequency data; liquidity measurement; intradaily periodicity;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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