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Demiralay, S 
ORCID: https://orcid.org/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
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: | Number Type 10.1016/j.najef.2014.10.002 DOI 1344783 Other |
| 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: | https://irep.ntu.ac.uk/id/eprint/42863 |
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