Is gold price volatility in India leveraged?

Title

Is gold price volatility in India leveraged?

Creator

Natchimuthu N.; Raj G.R.; Angadi H.S.

Description

This paper examined the presence of leverage effect on the gold price volatility in six major Indian cities using PGARCH model. This study also examined the impact of US gold price return on the volatility of gold price in India. For this study, daily time series data of gold price in six major Indian cities and gold price in the United States over a period of seven years (January 2011 to August 2017) were collected. The results suggest that conditional volatility of gold price in all the six cities in India carries volatility clustering feature. Leverage effect was also found in the gold price volatility of five out of six Indian cities studied. The United States gold returns had a significant influence on the gold price volatility of five out of six Indian cities studied. Hence, the gold price volatility in India is indeed leveraged.

Source

Academy of Accounting and Financial Studies Journal, Vol-21, No. 3

Date

2017-01-01

Publisher

Allied Business Academies

Subject

ADF test; Conditional volatility; Gold price; Leverage effect; PGARCH

Coverage

Natchimuthu N., Christ University, India; Raj G.R., Christ University, India; Angadi H.S., Christ University, India

Rights

Restricted Access

Relation

ISSN: 10963685

Format

Online

Language

English

Type

Article

Identifier

https://www.scopus.com/inward/record.uri?eid=2-s2.0-85040947592&partnerID=40&md5=e94c454f49298e4c96690666fc7530e7