Do Higher Asymmetry Threshold Effects Exist on the Gold Return Volatility during Highly Fluctuating Periods?

Yu-Hui Liao and Yeong-Jia Goo
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Yu-Hui Liao: Department of Business Administration, National Taipei University, New Taipei City 23741, Taiwan
Yeong-Jia Goo: Department of Business Administration, National Taipei University, New Taipei City 23741, Taiwan

Sustainability, 2019, vol. 11, issue 18, 1-14

Abstract: The GJR-GARCH model is frequently used by researchers and academic institutions. However, the model conveys limited information, using zero as a threshold without considering other possible thresholds. This study shows that a favorable econometric model could be formed by constructing a hybrid momentum HMTAR-GARCH model. Our findings indicate that higher asymmetry momentum threshold effects exist on the gold return volatility during highly fluctuating periods. Sustainable Enterprise Resource Planning (S-ERP) systems could help in the formation of a good risk management strategy by using the HMTAR-GARCH model. Perhaps gold is more sustainable than many other financial assets in the creation of an investment portfolio.

Keywords: asymmetric threshold effect; gold; HMTAR-GARCH model; S-ERP; sustainable; volatility (search for similar items in EconPapers)
JEL-codes: O13 Q Q0 Q2 Q3 Q5 Q56 (search for similar items in EconPapers)
Date: 2019
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