Volatility Spillover: Garch Analysis of S&P 500's Influence on Precious Metals

Edo Duran (), Zoran Grubisic () and Milena Lazic ()
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Edo Duran: Ernst & Young, Stockholm, Sweden
Zoran Grubisic: Belgrade Banking Academy, Faculty of Banking, Insurance and Finance, Belgrade, Serbia
Milena Lazic: Institute of Economic Sciences, Belgrade, Serbia

Journal of Central Banking Theory and Practice, 2024, vol. 13, issue 2, 187-211

Abstract: In this study, the volatility spillovers from the S&P 500 to the precious metals (gold, silver and platinum) are investigated. By using the TGARCH and DCC GARCH model, the evidence is found that there are spillovers between the S&P 500 and these global commodity markets. However, there are some differences in times of crises which have occurred during the observed 15 years (global economic crisis, debt crisis and corona crisis). In the case of gold, despite extreme volatility, there is no clear evidence of the specific influence of the crises. In contrast, silver and platinum showed clearer situations, both demonstrating significant increases in correlation with the S&P 500 index during global economic crises.

Keywords: Spillover; Commodity markets; GARCH; crisis. (search for similar items in EconPapers)
JEL-codes: C10 F36 G11 G15 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:cbk:journl:v:13:y:2024:i:2:p:187-211

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