Cargando…

Nonlinear examination of the ‘Heat Wave’ and ‘Meteor Shower’ effects between spot and futures markets of the precious metals

This paper researches two volatility transmission phenomena that take place within (‘heat wave’) and between (‘meteor shower’) spot and futures markets of four precious metals—gold, silver, platinum and palladium. We create conditional volatilities by considering three types of Markov switching GARC...

Descripción completa

Detalles Bibliográficos
Autores principales: Živkov, Dejan, Manić, Slavica, Pavkov, Ivan
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer Berlin Heidelberg 2021
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8536482/
https://www.ncbi.nlm.nih.gov/pubmed/34720364
http://dx.doi.org/10.1007/s00181-021-02148-7
_version_ 1784588015930179584
author Živkov, Dejan
Manić, Slavica
Pavkov, Ivan
author_facet Živkov, Dejan
Manić, Slavica
Pavkov, Ivan
author_sort Živkov, Dejan
collection PubMed
description This paper researches two volatility transmission phenomena that take place within (‘heat wave’) and between (‘meteor shower’) spot and futures markets of four precious metals—gold, silver, platinum and palladium. We create conditional volatilities by considering three types of Markov switching GARCH models in combination with three different distribution functions. Conditional volatilities are subsequently embedded in Markov switching mean model. We find that ‘heat wave’ effect is more intense than ‘meteor shower’ effect, and this applies for both spot and futures markets of all precious metals. The results indicate that ‘heat wave’ effect is more intense in high than in low volatility periods, and also this effect is stronger in futures markets than in spot markets. ‘Meteor shower’ effect is stronger in low volatility regime than in high volatility regime, which is particularly true for the futures markets. Rolling regression results are in line with switching parameters. In addition, we find that ‘meteor shower’ effect, from futures to spot market, is stronger when short-term futures are analysed vis-à-vis long-term futures.
format Online
Article
Text
id pubmed-8536482
institution National Center for Biotechnology Information
language English
publishDate 2021
publisher Springer Berlin Heidelberg
record_format MEDLINE/PubMed
spelling pubmed-85364822021-10-25 Nonlinear examination of the ‘Heat Wave’ and ‘Meteor Shower’ effects between spot and futures markets of the precious metals Živkov, Dejan Manić, Slavica Pavkov, Ivan Empir Econ Article This paper researches two volatility transmission phenomena that take place within (‘heat wave’) and between (‘meteor shower’) spot and futures markets of four precious metals—gold, silver, platinum and palladium. We create conditional volatilities by considering three types of Markov switching GARCH models in combination with three different distribution functions. Conditional volatilities are subsequently embedded in Markov switching mean model. We find that ‘heat wave’ effect is more intense than ‘meteor shower’ effect, and this applies for both spot and futures markets of all precious metals. The results indicate that ‘heat wave’ effect is more intense in high than in low volatility periods, and also this effect is stronger in futures markets than in spot markets. ‘Meteor shower’ effect is stronger in low volatility regime than in high volatility regime, which is particularly true for the futures markets. Rolling regression results are in line with switching parameters. In addition, we find that ‘meteor shower’ effect, from futures to spot market, is stronger when short-term futures are analysed vis-à-vis long-term futures. Springer Berlin Heidelberg 2021-10-23 2022 /pmc/articles/PMC8536482/ /pubmed/34720364 http://dx.doi.org/10.1007/s00181-021-02148-7 Text en © The Author(s), under exclusive licence to Springer-Verlag GmbH Germany, part of Springer Nature 2021 This article is made available via the PMC Open Access Subset for unrestricted research re-use and secondary analysis in any form or by any means with acknowledgement of the original source. These permissions are granted for the duration of the World Health Organization (WHO) declaration of COVID-19 as a global pandemic.
spellingShingle Article
Živkov, Dejan
Manić, Slavica
Pavkov, Ivan
Nonlinear examination of the ‘Heat Wave’ and ‘Meteor Shower’ effects between spot and futures markets of the precious metals
title Nonlinear examination of the ‘Heat Wave’ and ‘Meteor Shower’ effects between spot and futures markets of the precious metals
title_full Nonlinear examination of the ‘Heat Wave’ and ‘Meteor Shower’ effects between spot and futures markets of the precious metals
title_fullStr Nonlinear examination of the ‘Heat Wave’ and ‘Meteor Shower’ effects between spot and futures markets of the precious metals
title_full_unstemmed Nonlinear examination of the ‘Heat Wave’ and ‘Meteor Shower’ effects between spot and futures markets of the precious metals
title_short Nonlinear examination of the ‘Heat Wave’ and ‘Meteor Shower’ effects between spot and futures markets of the precious metals
title_sort nonlinear examination of the ‘heat wave’ and ‘meteor shower’ effects between spot and futures markets of the precious metals
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8536482/
https://www.ncbi.nlm.nih.gov/pubmed/34720364
http://dx.doi.org/10.1007/s00181-021-02148-7
work_keys_str_mv AT zivkovdejan nonlinearexaminationoftheheatwaveandmeteorshowereffectsbetweenspotandfuturesmarketsofthepreciousmetals
AT manicslavica nonlinearexaminationoftheheatwaveandmeteorshowereffectsbetweenspotandfuturesmarketsofthepreciousmetals
AT pavkovivan nonlinearexaminationoftheheatwaveandmeteorshowereffectsbetweenspotandfuturesmarketsofthepreciousmetals