Volatility Transmissions in Precious Metals Using Volatility Impulse Response Function Approach
In this paper, we investigate volatility transmition between four precious metal (gold, silver, platinum, palladium) using a multivariate GARCH model. We also investigate effect of shocks on precious metals using volatility impulse response function. The results of the VAR (1) -BEKK (1,1) using week...
| Main Authors: | , |
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| Format: | Article |
| Language: | fas |
| Published: |
Semnan University
2017-03-01
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| Series: | مدلسازی اقتصادسنجی |
| Subjects: | |
| Online Access: | https://jem.semnan.ac.ir/article_2878_2622cd64778853c38e1e6a7d2aec6a60.pdf |