Ping, P. Y. and Ahmad, M. H. B. and Ismail, N. B. (2016) Volatility spillover effect study in U.S. dollar and gold market based on bivariate-BEKK model. In: 23rd Malaysian National Symposium of Mathematical Sciences: Advances in Industrial and Applied Mathematics, SKSM 2015, 24 November 2015 through 26 November 2015, Johor Bahru; Malaysia.
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Abstract
As the interaction between international and domestic financial markets increases, the interaction between gold market and financial markets also increases. Today, the financial attributes of gold play a more evidence role in dominating the gold price. Taking into account time-varying and dynamic properties of volatility spillover effect in the financial markets, this paper investigates the time-varying volatility relationship between gold markets and U.S. dollar by using the bivariate-BEKK. This paper also investigate whether gold volatility is significantly affected by its own pre-fluctuations, its aggregation and lasting properties, and the bi-directional volatility spillover between the gold market and U.S. dollar.
| Item Type: | Conference or Workshop Item (Paper) |
|---|---|
| Uncontrolled Keywords: | Bivariate-BEKK, gold prices, U.S. dollar, volatility spillover |
| Subjects: | Q Science > QA Mathematics |
| Divisions: | Science |
| ID Code: | 73201 |
| Deposited By: | Muhammad Atiff Mahussain |
| Deposited On: | 29 Nov 2017 23:58 |
| Last Modified: | 29 Nov 2017 23:58 |
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