TITLE:
Testing Leverage and Spillover Effects in Precious Metal ETFs
AUTHORS:
Jo-Hui Chen, Thi Van Trang Do
KEYWORDS:
Precious Metal ETFs, Spillover Effect, Leverage Effect
JOURNAL NAME:
Theoretical Economics Letters,
Vol.8 No.3,
February
9,
2018
ABSTRACT: This research employed the Generalized
Autoregressive Conditional Heteroskedasticity-in-Mean-Autoregressive Moving
Average (GARCH-M-ARMA) and the Exponentially Generalized Autoregressive
Conditional Heteroskedasticity-in-Mean-Autoregressive Moving Average (EGARCH-M-ARMA)
models to investigate the spillover and leverage effects in the returns and
volatilities of precious metal (base metal) ETFs. Significant positive relationships
were found between precious metal (base metal) ETFs and precious metal (base
metal) price indices. Further, the positive relationship between risk and
return was illustrated in daily precious metal (base metal) ETFs.