Forecasting the volatility of precious metals prices with global economic policy uncertainty in pre and during the COVID-19 period: Novel evidence from the GARCH-MIDAS approach

Syed Raza, Amna Masood, Ramzi Benkraiem and Christian Urom

Energy Economics, 2023, vol. 120, issue C

Abstract: Economic policy is a major determinant of investment and financial decisions; Moreover, prices of precious metals are highly influenced by any uncertainty recorded in the global economic policy. Therefore, the prime consideration of the authors is to assess how global economic policy uncertainty influences the volatility of precious metals prices; particularly “gold, palladium, platinum, and silver” in the pre and during the COVID-19 pandemic. This research analyzed the full sample period (the 1997–2022), pre-COVID period (1997–2019), and during the COVID period (2020−2022) to evaluate the impact during different sample periods. Therefore, the GARCH-MIDAS approach is employed at the data set of different frequencies, i.e., monthly data of GEPU and daily data of precious metals. The results reveal a significant nexus between global GEPU and precious metals price volatility. The findings infer that any uncertainty recorded in global economic policy escalate the price volatility of gold, palladium, platinum, and silver prices. The present study increments the existing literature and provides insights for future scholars, investors, and policymakers.

Keywords: Global economic policy uncertainty; Precious metals; Price volatility; COVID-19; GARCH-MIDAS model (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (13)

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Working Paper: Forecasting the volatility of precious metals prices with global economic policy uncertainty in pre and during the COVID-19 period: Novel evidence from the GARCH-MIDAS approach (2023)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323000890

DOI: 10.1016/j.eneco.2023.106591

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