Non-linear volatility dynamics and risk management of precious metals

Demiralay, S. ORCID: 0000-0003-2543-7914 and Ulusoy, V., 2014. Non-linear volatility dynamics and risk management of precious metals. The North American Journal of Economics and Finance, 30, pp. 183-202. ISSN 1062-9408

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Abstract

In this paper, we investigate the value-at-risk predictions of four major precious metals (gold, silver, platinum, and palladium) with non-linear long memory volatility models, namely FIGARCH, FIAPARCH and HYGARCH, under normal and Student-t innovations’ distributions. For these analyses, we consider both long and short trading positions. Overall, our results reveal that long memory volatility models under Student-t distribution perform well in forecasting a one-day-ahead VaR for both long and short positions. In addition, we find that FIAPARCH model with Student-t distribution, which jointly captures long memory and asymmetry, as well as fat-tails, outperforms other models in VaR forecasting. Our results have potential implications for portfolio managers, producers, and policy makers.

Item Type: Journal article
Description: This article is maintained by: Elsevier; Article Title: Non-linear volatility dynamics and risk management of precious metals; Journal Title: The North American Journal of Economics and Finance; CrossRef DOI link to publisher maintained version: https://doi.org/10.1016/j.najef.2014.10.002; Content Type: article; Copyright: Copyright © 2014 Elsevier Inc. All rights reserved.
Publication Title: The North American Journal of Economics and Finance
Creators: Demiralay, S. and Ulusoy, V.
Publisher: Elsevier BV
Date: November 2014
Volume: 30
ISSN: 1062-9408
Identifiers:
NumberType
10.1016/j.najef.2014.10.002DOI
1344783Other
Divisions: Schools > Nottingham Business School
Record created by: Laura Ward
Date Added: 14 May 2021 13:01
Last Modified: 14 May 2021 13:01
URI: http://irep.ntu.ac.uk/id/eprint/42863

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