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Volatility Dynamics of Precious Metals: Evidence from Russia

Author

Listed:
  • Berna Kirkulak-Uludag

    (Faculty of Business, Dokuz Eylul University Tinaztepe Kampusu, Izmir, Turkey)

  • Zorikto Lkhamazhapov

    (Isbank, Moscow, Russia)

Abstract

This paper examines the volatility dynamics of four precious metals (gold, silver, platinum, and palladium) that are traded in Russia from 2000 to 2014. More specifically, it focuses on the following issues: (i) Presence of long memory property and structural breaks in returns and volatility series of precious metals by deploying semi-parametric methods and modified ICSS algorithm; and (ii) Correlation levels among precious metals by using DCC-MGARCH approach. The findings show that there is strong evidence of long memory property in the conditional volatility of all precious metals. Concerning the dynamic constant correlation, precious metals are highly correlated with each other. Although gold is the least volatile metal, the correlation increases significantly when it is paired with other precious metals. The findings further suggest that silver can be a good diversifier investment due to its low correlation with other precious metals.

Suggested Citation

  • Berna Kirkulak-Uludag & Zorikto Lkhamazhapov, 2017. "Volatility Dynamics of Precious Metals: Evidence from Russia," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 67(4), pages 300-317, August.
    • Handle: RePEc:fau:fauart:v:67:y:2017:i:4:p:300-317
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    References listed on IDEAS

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    More about this item

    Keywords

    precious metals; Russia; long memory; structural breaks; volatility spillover; DCC-MGARCH;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • L61 - Industrial Organization - - Industry Studies: Manufacturing - - - Metals and Metal Products; Cement; Glass; Ceramics

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