The asymmetric volatility in the gold market revisited
Author(s)
Todorova, Neda
Griffith University Author(s)
Year published
2017
Metadata
Show full item recordAbstract
Based on 13.5 years of intraday data, this paper sheds light on the inverse asymmetric volatility effect inherent in the gold market. After decomposing realized volatility into positive and negative semivariance, rolling estimations of the HAR model uncover the relative importance of the long-term positive semivariance and reveal the dynamics of the individual volatility components over time. Two effects are identified: The relevance of the short-term negative semivariance is rather pervasive while the impact of the positive semivariance is strongly correlated with the overall development of the gold market. The asymmetric ...
View more >Based on 13.5 years of intraday data, this paper sheds light on the inverse asymmetric volatility effect inherent in the gold market. After decomposing realized volatility into positive and negative semivariance, rolling estimations of the HAR model uncover the relative importance of the long-term positive semivariance and reveal the dynamics of the individual volatility components over time. Two effects are identified: The relevance of the short-term negative semivariance is rather pervasive while the impact of the positive semivariance is strongly correlated with the overall development of the gold market. The asymmetric nature of gold price volatility is multi-faceted and hence more complex than previously documented.
View less >
View more >Based on 13.5 years of intraday data, this paper sheds light on the inverse asymmetric volatility effect inherent in the gold market. After decomposing realized volatility into positive and negative semivariance, rolling estimations of the HAR model uncover the relative importance of the long-term positive semivariance and reveal the dynamics of the individual volatility components over time. Two effects are identified: The relevance of the short-term negative semivariance is rather pervasive while the impact of the positive semivariance is strongly correlated with the overall development of the gold market. The asymmetric nature of gold price volatility is multi-faceted and hence more complex than previously documented.
View less >
Journal Title
Economics Letters
Volume
150
Subject
Macroeconomics (incl. Monetary and Fiscal Theory)
Economics