![]() ![]() Gold price volatility and stock market returns in India. The variation of certain speculative prices. Measuring and testing the impact of news on volatility. Autoregressive conditional heteroskedasticity with estimates of the variance of UK inflation. International Journal of Business Ethics and Governance, 1(2), 45–71.Įngle, R. The determinants of capital structure and dividend policy: Empirical evidence from the Kingdom of Saudi Arabia Market. IMF Working Paper.Įl-Halaby, S., Alzunaydi, M., & El-Ghazaly, M. Exchange rates, country preferences and gold. Journal of Empirical Finance, 1(1), 83–106.ĭooley, M. Long memory properties of stock market returns and a new model. Journal of the American Statistical Association, 74(366a), 427–431.ĭing, Z., Engle, R. Distribution of the estimators for autoregressive time series with a unit root. Quasi-maximum likelihood estimation inference in dynamic models with time-varying covariance. Journal of Econometrics, 31(3), 307–327.īollerslev, T., & Wooldridge, J. Generalized autoregressive conditional heteroskedasticity. Journal of Global Business and Social Entrepreneurship (GBSE), 1(1), 94–103. Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold. Asymmetric volatility in the gold market. The European Journal of Finance, 13(1), 65–87.īaur, D. A better asymmetric model of changing volatility in stock and exchange rate returns: Trend-GARCH. International Journal of Business Ethics and Governance, 1(2), 20–35.īatten, J. Impact of macroeconomic variables on Islamic banks profitability. Estimating stock market volatility using asymmetric GARCH models. IEEE Transactions on Automatic Control, 19(6), 716–723.Īlberg, D., Shalit, H., & Yosef, R. A new look at the statistical model identification. Psychological barriers in gold prices? Review of Financial Economics, 16(2007), 217–230.Īkaike, H. Thus, gold has a reserved relevance in the financial market for analysing portfolios and managing risks, especially when there is a period of financial distress as it is empowered with the role of hedge or safe-haven and diversification to minimize the risks, which recommended its inclusion in HQLA stock. This paper provides empirical evidence employing GARCH family models to show that Gold has similar symmetric volatility structure as other traditional assets, namely stocks indices, bonds and dollar index in the United State financial market, but, its price volatility is not affected by asymmetric market information (absence of leverage effect) compared with these assets. Gold, on the other hand, to date has not been included as HQLA stock due to high volatility. ![]() Hence, in December 2010, the Basel Committee of Banking Supervision (BCBS) announced a pair of novel ratios, the “Liquidity Coverage Ratio” (LCR) and the “Net Stable Funding Ratio” (NSFR) to make sure banks would be adequately supported with “High Quality Liquid Assets” (HQLA) when faced with financial pressure. The 2008–2009 Global Financial Crisis (GFC 2008/9) was a reminder that the majority of commercial banks then lacked adequate liquid assets to survive liquidity risk linked to times of financial pleasure. ![]()
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