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首页> 外文期刊>Journal of Economics and Finance >Volatility analysis of precious metals returns and oil returns: An ICSS approach
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Volatility analysis of precious metals returns and oil returns: An ICSS approach

机译：贵金属收益率和石油收益率的波动性分析：一种ICSS方法

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This study examines volatility persistence on precious metals returns taking into account oil returns and the three world major stock equity indices (Dow Jones Industrial, FTSE 100, and Nikkei 225) using daily data over the sample period January 1995 to May 2008; the aim is to analyze market relationships before the global financial crisis. We first determine when large changes in the volatility of each market returns occur by identifying major global events that would increase fluctuations in these markets. The Iterated Cumulative Sums of Squares (ICSS) algorithm was used to identify the existence of structural breaks or sudden changes in the variance of returns. In each market the standardized residuals were obtained through the GARCH(1,1) mean equation. Our main results identify a clear relationship between precious metals returns and oil returns, while the interaction between precious metals and stock returns seems to be an independent one in the case of gold with mixed results for silver and platinum. In relation to volatility persistence, the results show clear evidence of high volatility persistence between these markets, especially during times when markets were affected by excessive volatility due to economic and financial shocks.
机译：这项研究使用了1995年1月至2008年5月这期间的每日数据，研究了考虑到石油收益和三个世界主要股票指数（道琼斯工业指数，FTSE 100和日经225）的贵金属收益率的波动持久性；目的是在全球金融危机之前分析市场关系。我们首先通过确定会加剧这些市场波动的重大全球事件来确定每个市场收益的波动率何时发生较大变化。迭代累积平方和（ICSS）算法用于识别结构性断裂的存在或收益方差的突然变化。在每个市场中，标准化残差通过GARCH（1,1）均值方程获得。我们的主要结果确定了贵金属收益率与石油收益率之间的明确关系，而就黄金而言，贵金属与股票收益率之间的相互作用似乎是独立的，而白银和铂金的混合结果则是独立的。关于波动率的持久性，结果清楚地表明了这些市场之间的高波动率的持久性，尤其是在市场受到经济和金融冲击导致的过度波动性影响的时期。

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