TY - JOUR
T1 - Conditional Dependence in Precious Metal Prices
AU - Akgiray, Vedat
AU - Booth, G. Geoffrey
AU - Hatem, John J.
AU - Mustafa, Chowdhury
PY - 1991/8/1
Y1 - 1991/8/1
N2 - This study investigates the time‐series properties of gold and silver spot prices. Both precious metal price series are found to exhibit time dependence and pronounced generalized autoregressive conditional heteroscedastic (GARCH) effects. Splitting the data into similar economic subperiods provides superior explanation of these effects because of the observed long‐run nonconstancy of the unconditional variance. Further, the power exponential distribution, as opposed to the Student‐t, is found to portray accurately the thick‐tailed conditional variance that remains after the GARCH effects are removed. These findings imply that constant variance pricing models are inappropriate for securities that are based on precious metal prices.
AB - This study investigates the time‐series properties of gold and silver spot prices. Both precious metal price series are found to exhibit time dependence and pronounced generalized autoregressive conditional heteroscedastic (GARCH) effects. Splitting the data into similar economic subperiods provides superior explanation of these effects because of the observed long‐run nonconstancy of the unconditional variance. Further, the power exponential distribution, as opposed to the Student‐t, is found to portray accurately the thick‐tailed conditional variance that remains after the GARCH effects are removed. These findings imply that constant variance pricing models are inappropriate for securities that are based on precious metal prices.
KW - Conditional dependence
KW - Precious metal prices
UR - https://digitalcommons.georgiasouthern.edu/finance-facpubs/40
UR - https://doi.org/10.1111/j.1540-6288.1991.tb00386.x
U2 - 10.1111/j.1540-6288.1991.tb00386.x
DO - 10.1111/j.1540-6288.1991.tb00386.x
M3 - Article
VL - 26
JO - The Financial Review
JF - The Financial Review
ER -