Modeling co-movement and risk management of gold and silver spot prices

© Springer International Publishing Switzerland 2016. This paper aims to model volatility and correlation dynamics in spot price returns of gold and silver, and examines the corresponding market risk management implications. VaR (value at risk) and ES (expected shortfall) are used to analyze the mar...

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Main Authors: Yang C., Sriboonchitta S., Sirisrisakulchai J., Liu J.
Format: Book Series
Published: 2017
Online Access:https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84952652860&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/42355
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Institution: Chiang Mai University
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spelling th-cmuir.6653943832-423552017-09-28T04:26:37Z Modeling co-movement and risk management of gold and silver spot prices Yang C. Sriboonchitta S. Sirisrisakulchai J. Liu J. © Springer International Publishing Switzerland 2016. This paper aims to model volatility and correlation dynamics in spot price returns of gold and silver, and examines the corresponding market risk management implications. VaR (value at risk) and ES (expected shortfall) are used to analyze the market risk associated with investments in gold and silver. Many GARCH family models are employed to describe the volatility. This work applied the copula based-GARCH model in the estimation of a portfolio VaR and ES composed of gold and silver spot prices. The empirical results exhibit that the NAGARCH and the TGARCH families performed better than other GARCH family members in describing the volatility of gold and silver returns, respectively. Furthermore, the time-varying T copula has the most appropriate performance in capturing the dependence structure between gold and silver returns. The out-of-sample forecast performance indicates that the time-varying T copula-based GARCH model can measure the VaR and ES with the accurate estimates of gold and silver. 2017-09-28T04:26:37Z 2017-09-28T04:26:37Z 2016-01-01 Book Series 1860949X 2-s2.0-84952652860 10.1007/978-3-319-27284-9_22 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84952652860&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/42355
institution Chiang Mai University
building Chiang Mai University Library
country Thailand
collection CMU Intellectual Repository
description © Springer International Publishing Switzerland 2016. This paper aims to model volatility and correlation dynamics in spot price returns of gold and silver, and examines the corresponding market risk management implications. VaR (value at risk) and ES (expected shortfall) are used to analyze the market risk associated with investments in gold and silver. Many GARCH family models are employed to describe the volatility. This work applied the copula based-GARCH model in the estimation of a portfolio VaR and ES composed of gold and silver spot prices. The empirical results exhibit that the NAGARCH and the TGARCH families performed better than other GARCH family members in describing the volatility of gold and silver returns, respectively. Furthermore, the time-varying T copula has the most appropriate performance in capturing the dependence structure between gold and silver returns. The out-of-sample forecast performance indicates that the time-varying T copula-based GARCH model can measure the VaR and ES with the accurate estimates of gold and silver.
format Book Series
author Yang C.
Sriboonchitta S.
Sirisrisakulchai J.
Liu J.
spellingShingle Yang C.
Sriboonchitta S.
Sirisrisakulchai J.
Liu J.
Modeling co-movement and risk management of gold and silver spot prices
author_facet Yang C.
Sriboonchitta S.
Sirisrisakulchai J.
Liu J.
author_sort Yang C.
title Modeling co-movement and risk management of gold and silver spot prices
title_short Modeling co-movement and risk management of gold and silver spot prices
title_full Modeling co-movement and risk management of gold and silver spot prices
title_fullStr Modeling co-movement and risk management of gold and silver spot prices
title_full_unstemmed Modeling co-movement and risk management of gold and silver spot prices
title_sort modeling co-movement and risk management of gold and silver spot prices
publishDate 2017
url https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84952652860&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/42355
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