Engle-Granger Cointegration Analysis Between Garch-Type Volatilities of Gold and Silver Returns

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dc.contributor.authorArı, Yakup
dc.date.accessioned2022-10-03T12:43:06Z
dc.date.available2022-10-03T12:43:06Z
dc.date.issued2021
dc.departmentALKÜ, Fakülteler, İktisadi ve İdari Bilimler Fakültesi, İktisat Bölümü
dc.description.abstractThe 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.
dc.identifier.endpage618en_US
dc.identifier.issue2en_US
dc.identifier.startpage589en_US
dc.identifier.urihttps://dergipark.org.tr/tr/download/article-file/1439774
dc.identifier.urihttps://hdl.handle.net/20.500.12868/1781
dc.identifier.volume5en_US
dc.language.isoen
dc.relation.ispartofAlanya Akademik Bakış
dc.relation.publicationcategoryMakale - Ulusal Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/openAccess
dc.subjectGARCH-type Volatility
dc.subjectVolatility
dc.subjectEngleGranger Cointegration
dc.subjectECM
dc.subjectGranger Causality
dc.subjectGold
dc.subjectSilver
dc.titleEngle-Granger Cointegration Analysis Between Garch-Type Volatilities of Gold and Silver Returns
dc.typeArticle

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2021 - Cilt 5 - Sayı 2