Volatility transmission between gold and oil futures under structural breaks

Author First name, Last name, Institution

Bradley T. Ewing, Rawls College of Business
Farooq Malik, Zayed University

Document Type

Article

Source of Publication

International Review of Economics and Finance

Publication Date

1-1-2013

Abstract

This paper employs univariate and bivariate GARCH models to examine the volatility of gold and oil futures incorporating structural breaks using daily returns from July 1, 1993 to June 30, 2010. We find strong evidence of significant transmission of volatility between gold and oil returns when structural breaks in variance are accounted for in the model. We compute optimal portfolio weights and dynamic risk minimizing hedge ratios to highlight the significance of our empirical results. Our findings support the idea of cross-market hedging and sharing of common information by financial market participants. © 2012 Elsevier Inc.

DOI Link

10.1016/j.iref.2012.06.008

ISSN

1059-0560

Publisher

Elsevier BV

Volume

25

First Page

113

Last Page

121

Disciplines

Business

Keywords

GARCH, Gold volatility, Oil volatility, Structural breaks, Volatility transmission

Scopus ID

84863431188

Recommended Citation

Ewing, Bradley T. and Malik, Farooq, "Volatility transmission between gold and oil futures under structural breaks" (2013). All Works. 3930.
https://zuscholars.zu.ac.ae/works/3930

Indexed in Scopus

yes

Open Access

no