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Assessing the influence of news indicator on volatility of precious metals prices through GARCH-MIDAS model: A comparative study of pre and during COVID-19 period

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  • Khaskheli, Asadullah
  • Zhang, Hongyu
  • Raza, Syed Ali
  • Khan, Komal Akram

Abstract

The research aims to discover the influence of news indicator on the volatility of precious metals prices. It highlights an essential aspect by focusing on comparing pre and during COVID-19 period. For this purpose, an advanced econometric technique, i.e., Generalized Autoregressive Conditional Heteroskedasticity variant of Mixed Data Sampling (GARCH MIDAS), has been employed. The full sample results demonstrate that news relating to any of the precious metals is likely to affect their volatilities, except palladium. In the case of during the COVID-19 sample, the outcomes reveal that fear-induced news raises the return volatilities of gold and palladium; thereby, both are highly sensitive to the recent pandemic. In contrast, silver and platinum are found to have less impact.

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  • Khaskheli, Asadullah & Zhang, Hongyu & Raza, Syed Ali & Khan, Komal Akram, 2022. "Assessing the influence of news indicator on volatility of precious metals prices through GARCH-MIDAS model: A comparative study of pre and during COVID-19 period," Resources Policy, Elsevier, vol. 79(C).
    • Handle: RePEc:eee:jrpoli:v:79:y:2022:i:c:s0301420722003956
    DOI: 10.1016/j.resourpol.2022.102951
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