The asymmetric volatility in the gold market revisited

Neda Todorova

Economics Letters, 2017, vol. 150, issue C, 138-141

Abstract: Based on 13.5 years of intraday data, this paper sheds light on the inverse asymmetric volatility effect inherent in the gold market. After decomposing realized volatility into positive and negative semivariance, rolling estimations of the HAR model uncover the relative importance of the long-term positive semivariance and reveal the dynamics of the individual volatility components over time. Two effects are identified: The relevance of the short-term negative semivariance is rather pervasive while the impact of the positive semivariance is strongly correlated with the overall development of the gold market. The asymmetric nature of gold price volatility is multi-faceted and hence more complex than previously documented.

Keywords: Gold futures; Realized volatility; Semivariance; Volatility asymmetry; HAR model (search for similar items in EconPapers)
JEL-codes: C32 G10 G15 (search for similar items in EconPapers)
Date: 2017
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:ecolet:v:150:y:2017:i:c:p:138-141

DOI: 10.1016/j.econlet.2016.11.027

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