A note on the implied volatility spillovers between gold and silver markets

Anupam Dutta

Resources Policy, 2018, vol. 55, issue C, 192-195

Abstract: While a large number of studies estimate the volatility spillover effects between gold and silver returns, none of them employs the implied volatilities of these two metal markets to assess such uncertainty transmission relationship. Our paper aims to fill this void in the existing literature. At the empirical stage, we make use of two different forms of the bivariate VAR-GARCH model to investigate the implied volatility spillovers between gold and silver markets. Our findings suggest that return and shocks significantly run from gold VIX (GVZ) to silver VIX (VXSLV), but not the other way around. In addition, we show that portfolio risk can be diversified if investors hold options in both gold and silver markets. Our findings are robust with respect to various VAR-GARCH models used in the empirical investigation.

Keywords: Gold VIX (GVZ); Silver VIX (VXSLV); VAR-GARCH model; Hedging effectiveness (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:55:y:2018:i:c:p:192-195

DOI: 10.1016/j.resourpol.2017.11.017

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