dc.contributor.author | Arı, Yakup | |
dc.date.accessioned | 2022-10-03T12:43:06Z | |
dc.date.available | 2022-10-03T12:43:06Z | |
dc.date.issued | 2021 | en_US |
dc.identifier.uri | https://dergipark.org.tr/tr/download/article-file/1439774 | |
dc.identifier.uri | https://hdl.handle.net/20.500.12868/1781 | |
dc.description.abstract | The aim of this study is to reveal the cointegration relationship between the
volatility of silver and gold returns. For this purpose, the volatility of silver
and gold returns is modeled with GARCH-type models. The volatility data of
the returns are obtained from 10 different GARCH-type models and using 8
different probability distributions in these models. The most adequate fit
models for the volatility of silver and gold returns are found as ALLGARCH
(1,1) and AVGARCH (1,1), respectively, where innovations are normal
inverse Gaussian distributed. Volatility data are obtained from these models
and it is determined that they are not stationary at the level. Therefore, the
long-run and short-run relationships between the two volatilities are tested by
the two-step Engle-Granger Cointegration method. Furthermore, the
volatility spillover from silver returns to gold returns is shown by using the
squared standardized residuals of the volatility model of silver returns as an
exogenous variable in the nig-AVGARCH (1,1) volatility model of gold
returns. It is concluded that the volatilities of silver and gold returns are
cointegrated and the deviation from long-run equilibrium is rebalanced
within 20 days. | en_US |
dc.language.iso | eng | en_US |
dc.rights | info:eu-repo/semantics/openAccess | en_US |
dc.subject | GARCH-type Volatility | en_US |
dc.subject | Volatility | en_US |
dc.subject | EngleGranger Cointegration | en_US |
dc.subject | ECM | en_US |
dc.subject | Granger Causality | en_US |
dc.subject | Gold | en_US |
dc.subject | Silver | en_US |
dc.title | Engle-Granger Cointegration Analysis Between Garch-Type Volatilities of Gold and Silver Returns | en_US |
dc.type | article | en_US |
dc.contributor.department | ALKÜ, Fakülteler, İktisadi ve İdari Bilimler Fakültesi, İktisat Bölümü | en_US |
dc.identifier.volume | 5 | en_US |
dc.identifier.issue | 2 | en_US |
dc.identifier.startpage | 589 | en_US |
dc.identifier.endpage | 618 | en_US |
dc.relation.journal | Alanya Akademik Bakış | en_US |
dc.relation.publicationcategory | Makale - Ulusal Hakemli Dergi - Kurum Öğretim Elemanı | en_US |