Volatility spillover effects between gold and stocks based on VAR-DCC-BVGARCH model

Xunfa Lu; Jiawei Wang; Kin Keung Lai

doi:10.1109/CSO.2014.60

Volatility spillover effects between gold and stocks based on VAR-DCC-BVGARCH model

Xunfa Lu, Jiawei Wang, Kin Keung Lai

Research output: Chapters, Conference Papers, Creative and Literary Works › RGC 32 - Refereed conference paper (with host publication) › peer-review

6 Citations (Scopus)

Abstract

To measure the volatility spillover effects between gold market and stock market, a VAR-DCC-BVGARCH model is utilized to analyze the relationship of both. The bivariate GARCH model (BVGARCH), employed to simultaneously capture the conditional volatilities of both assets and the dynamic conditional correlation model, used to estimate their time-varying conditional correlation are combined. Empirical results show that the volatility spillover effects of both gold and stocks persist in the long run. Especially, the spillover effects from gold prices to stock prices are more obvious. Furthermore, the time-varying correlation between two assets is also found and is more significant as the volatilities of gold prices increase. These results can help investors to better manage risks and returns of the portfolio including both assets.

Original language	English
Title of host publication	Proceedings - 2014 7th International Joint Conference on Computational Sciences and Optimization, CSO 2014
Publisher	IEEE
Pages	284-287
ISBN (Print)	9781479953721
DOIs	https://doi.org/10.1109/CSO.2014.60
Publication status	Published - Jul 2014
Event	7th International Joint Conference on Computational Sciences and Optimization, CSO 2014 - Beijing, China Duration: 4 Jul 2014 → 6 Jul 2014

Conference

Conference	7th International Joint Conference on Computational Sciences and Optimization, CSO 2014
Country/Territory	China
City	Beijing
Period	4/07/14 → 6/07/14

Research Keywords

Asset returns
BVGARCH
Volatility spillover effects

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title = "Volatility spillover effects between gold and stocks based on VAR-DCC-BVGARCH model",

abstract = "To measure the volatility spillover effects between gold market and stock market, a VAR-DCC-BVGARCH model is utilized to analyze the relationship of both. The bivariate GARCH model (BVGARCH), employed to simultaneously capture the conditional volatilities of both assets and the dynamic conditional correlation model, used to estimate their time-varying conditional correlation are combined. Empirical results show that the volatility spillover effects of both gold and stocks persist in the long run. Especially, the spillover effects from gold prices to stock prices are more obvious. Furthermore, the time-varying correlation between two assets is also found and is more significant as the volatilities of gold prices increase. These results can help investors to better manage risks and returns of the portfolio including both assets.",

keywords = "Asset returns, BVGARCH, Volatility spillover effects",

author = "Xunfa Lu and Jiawei Wang and Lai, {Kin Keung}",

year = "2014",

month = jul,

doi = "10.1109/CSO.2014.60",

language = "English",

isbn = "9781479953721",

pages = "284--287",

booktitle = "Proceedings - 2014 7th International Joint Conference on Computational Sciences and Optimization, CSO 2014",

publisher = "IEEE",

address = "United States",

note = "7th International Joint Conference on Computational Sciences and Optimization, CSO 2014 ; Conference date: 04-07-2014 Through 06-07-2014",

}

Lu, X, Wang, J & Lai, KK 2014, Volatility spillover effects between gold and stocks based on VAR-DCC-BVGARCH model. in Proceedings - 2014 7th International Joint Conference on Computational Sciences and Optimization, CSO 2014., 6923686, IEEE, pp. 284-287, 7th International Joint Conference on Computational Sciences and Optimization, CSO 2014, Beijing, China, 4/07/14. https://doi.org/10.1109/CSO.2014.60

Volatility spillover effects between gold and stocks based on VAR-DCC-BVGARCH model. / Lu, Xunfa; Wang, Jiawei; Lai, Kin Keung.
Proceedings - 2014 7th International Joint Conference on Computational Sciences and Optimization, CSO 2014. IEEE, 2014. p. 284-287 6923686.

Research output: Chapters, Conference Papers, Creative and Literary Works › RGC 32 - Refereed conference paper (with host publication) › peer-review

TY - GEN

T1 - Volatility spillover effects between gold and stocks based on VAR-DCC-BVGARCH model

AU - Lu, Xunfa

AU - Wang, Jiawei

AU - Lai, Kin Keung

PY - 2014/7

Y1 - 2014/7

N2 - To measure the volatility spillover effects between gold market and stock market, a VAR-DCC-BVGARCH model is utilized to analyze the relationship of both. The bivariate GARCH model (BVGARCH), employed to simultaneously capture the conditional volatilities of both assets and the dynamic conditional correlation model, used to estimate their time-varying conditional correlation are combined. Empirical results show that the volatility spillover effects of both gold and stocks persist in the long run. Especially, the spillover effects from gold prices to stock prices are more obvious. Furthermore, the time-varying correlation between two assets is also found and is more significant as the volatilities of gold prices increase. These results can help investors to better manage risks and returns of the portfolio including both assets.

AB - To measure the volatility spillover effects between gold market and stock market, a VAR-DCC-BVGARCH model is utilized to analyze the relationship of both. The bivariate GARCH model (BVGARCH), employed to simultaneously capture the conditional volatilities of both assets and the dynamic conditional correlation model, used to estimate their time-varying conditional correlation are combined. Empirical results show that the volatility spillover effects of both gold and stocks persist in the long run. Especially, the spillover effects from gold prices to stock prices are more obvious. Furthermore, the time-varying correlation between two assets is also found and is more significant as the volatilities of gold prices increase. These results can help investors to better manage risks and returns of the portfolio including both assets.

KW - Asset returns

KW - BVGARCH

KW - Volatility spillover effects

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DO - 10.1109/CSO.2014.60

M3 - RGC 32 - Refereed conference paper (with host publication)

SN - 9781479953721

SP - 284

EP - 287

BT - Proceedings - 2014 7th International Joint Conference on Computational Sciences and Optimization, CSO 2014

PB - IEEE

T2 - 7th International Joint Conference on Computational Sciences and Optimization, CSO 2014

Y2 - 4 July 2014 through 6 July 2014

ER -

Volatility spillover effects between gold and stocks based on VAR-DCC-BVGARCH model

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