Assessing the influence of news indicator on volatility of precious metals prices through GARCH-MIDAS model: A comparative study of pre and during COVID-19 period

Asadullah Khaskheli, Hongyu Zhang, Syed Raza and Komal Akram Khan

Resources Policy, 2022, vol. 79, issue C

Abstract: The research aims to discover the influence of news indicator on the volatility of precious metals prices. It highlights an essential aspect by focusing on comparing pre and during COVID-19 period. For this purpose, an advanced econometric technique, i.e., Generalized Autoregressive Conditional Heteroskedasticity variant of Mixed Data Sampling (GARCH MIDAS), has been employed. The full sample results demonstrate that news relating to any of the precious metals is likely to affect their volatilities, except palladium. In the case of during the COVID-19 sample, the outcomes reveal that fear-induced news raises the return volatilities of gold and palladium; thereby, both are highly sensitive to the recent pandemic. In contrast, silver and platinum are found to have less impact.

Keywords: Precious metals; News indicator; COVID-19; GARCH-MIDAS (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:79:y:2022:i:c:s0301420722003956

DOI: 10.1016/j.resourpol.2022.102951

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