Asymmetries in the Volatility of Precious Metals Returns: The TA-ARSV Modelling Strategy

María del Carmen García-Centeno, Gema Fernández-Avilés and José María Montero

The Journal of Economic Asymmetries, 2010, vol. 7, issue 1, 23-41

Abstract: This article shows different models that are capable of reproducing the stylized facts of financial returns series, and provides a new strategy to model the asymmetric answer of volatility in high-frequency series: the TA-ARSV strategy. This strategy is based on the TGARCH and ARSV models. The database used includes the daily returns of gold, silver, and platinum because these metals are currently (at crisis time) considered as an alternative to reserve currencies. Our analysis focuses on the period January 1, 1990 to February 25, 2009. Results show that the TA-ARSV model is the best in presence of leverage effect.

Keywords: C22; C51; Asymmetric stochastic volatility; TA-ARSV model; Conditional heteroskedasticity; Stylized fact (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:joecas:v:7:y:2010:i:1:p:23-41

DOI: 10.1016/j.jeca.2010.01.003

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