Heavy-tailed distribution, GARCH models and the silver returns

Andrew Maree, Peter Card and Paul Kidman

International Journal of Finance, Insurance and Risk Management, 2017, vol. 7, issue 2, 1351

Abstract: After serving as a medium of exchange for the human society, silver is still widely used in our daily life. From the jewellery, electronic and electrical industries as well as medicine, optics, the power industry, automotive industry and many other industries, silver is still playing a very active role. In addition to the industrial usage, silver also serves as an investment tool for many financial institutions. Thus, it is crucial to develop effective quantitative risk management tool for those financial institutions. In this paper, we investigate the conditional heavy tails of daily silver spot returns under the GARCH framework. Our results indicate that that it is important to introduce heavy-tailed distributions to the GARCH framework and the normal reciprocal inverse Gaussian (NRIG) distribution, a newly-developed distribution, has the best empirical performance in capture the daily silver spot returns dynamics.

Keywords: normal reciprocal inverse Gaussian; GARCH model; silver spot returns; specious metals; daily data (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://journalfirm.com/journal/169/download (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ers:ijfirm:v:7:y:2017:i:2:p:1351

Access Statistics for this article

More articles in International Journal of Finance, Insurance and Risk Management from International Journal of Finance, Insurance and Risk Management
Bibliographic data for series maintained by Marios Agiomavritis ().