Is there spill-over effect among metals?

Title

Is there spill-over effect among metals?

Creator

Sunil N.S.; Natchimuthu N.

Description

This paper was aimed at examining the existence of volatility spill-over between precious and industrial metals by estimating Multi-variate GARCH model. Metals chosen for this study were aluminium, copper, gold and silver. Data from 1st march 2004 to 31st March 2018 were used for the analysis. Significant clustering effect was found in the variance of all the metals studied. Significantly strong volatility spill-over was found between aluminium and copper when compared to other metals. It was also noted that the persistence of volatility spill-over between copper and aluminium is the least among other metals. Since there is significant spill-over between aluminium and copper, portfolio managers are advised to avoid investing in them together in their portfolios. 2019 SERSC.

Source

International Journal of Advanced Science and Technology, Vol-29, No. 2, pp. 72-80.

Date

2020-01-01

Publisher

Science and Engineering Research Support Society

Subject

Metal price volatility; Multivariate GARCH; Volatility persistence; Volatility spill-over effect

Coverage

Sunil N.S., Department of Commerce, Christ (Deemed to be university), Delhi NCR, Ghaziabad, 201003, Delhi NCR, India; Natchimuthu N., Department of Commerce, Christ (Deemed to be university), Hosur Main road, Bangalore, 560029, Karnataka, India

Rights

Restricted Access

Relation

ISSN: 20054238

Format

Online

Language

English

Type

Article

Identifier

https://www.scopus.com/inward/record.uri?eid=2-s2.0-85083074451&partnerID=40&md5=e0400c84f38b5f41846857e60577c213