Does Gold Still Shelter Inflation, and, if so, When? Evidence From Four Countries

2021 ◽  
Author(s):  
Mohd Fahmi Ghazali ◽  
Nurul Fasyah Mohd Ussdek ◽  
Hooi Hooi Lean ◽  
Jude W. Taunson
Keyword(s):  
Minor Role ◽  
Time Varying ◽  
Safe Haven ◽  
Chinese Investment ◽  
Regression Residuals ◽  
Volatility Models ◽  
The Us ◽  
The Uk ◽  
A Minor ◽  
Investment In China

This study investigates gold as a hedge or a safe haven against inflation in four countries. We propose two standard and quantile techniques in the volatility models, with a time-varying conditional variance of regression residuals based on TGARCH specifications. Gold exhibits considerable evidence of a strong hedge in the US and China. Nevertheless, gold provides shelter at different times and not consistently across countries. With regards to be a safe haven, gold retains its status as a key investment in China. On the other hand, gold only plays a minor role in the UK and India. These findings indicate that gold can secure Chinese investment during the high inflationary periods, while gold is a profitable asset to hold over a long period of time in the US. In contrast, UK and Indian investors should hold a well-diversified portfolio for sustainable return and protection from purchasing power loss.

scholarly journals Volatility Analysis of Nepalese Stock Market

2009 ◽  
Vol 5 (1) ◽  
pp. 76-84 ◽  
Author(s):  
Surya Bahadur G.C.
Keyword(s):  
Stock Market ◽  
Conditional Heteroskedasticity ◽  
Time Varying ◽  
Stock Market Volatility ◽  
Volatility Clustering ◽  
Business Studies ◽  
Volatility Models ◽  
Modeling And Forecasting ◽  
Volatility Analysis ◽  
Forecasting Volatility

Modeling and forecasting volatility of capital markets has been important area of inquiry and research in financial economics with the recognition of time-varying volatility, volatility clusturing, and asymmetric response of volatility to market movements. Given the anticipated growth of the Nepalese stock market and increasing interest of investors towards investment in Nepalese stock market, it is important to understand the pattern of stock market volatility. In the paper, the volatility of the Nepalese stock market is modeled using daily return series consisting of 1297 observations from July 2003 to Feb 2009 and different classes of estimators and volatility models. The results indicate that the most appropriate model for volatility modeling in Nepalese market, where no significant asymmetry in the conditional volatility of returns was captured, is GARCH(1,1). The study revealed strong evidence of time-varying volatility, a tendency of the periods of high and low volatility to cluster and a high persistence and predictability of volatility in the Nepalese stock market.Key words: Conditional heteroskedasticity, ARCH, GARCH, volatility clustering, leverage effect, Nepalese Stock MarketThe Journal of Nepalese Business Studies Vol. V, No. 1, 2008, December Page: 76-84

Time-Varying Parameter Realized Volatility Models

2016 ◽  
Vol 36 (5) ◽  
pp. 566-580 ◽  
Author(s):  
Yudong Wang ◽  
Zhiyuan Pan ◽  
Chongfeng Wu
Keyword(s):  
Realized Volatility ◽  
Time Varying ◽  
Volatility Models ◽  
Time Varying Parameter

An application of three bivariate time-varying volatility models

2001 ◽  
Vol 17 (1) ◽  
pp. 121-133 ◽  
Author(s):  
I. D. Vrontos ◽  
S. G. Giakoumatos ◽  
P. Dellaportas ◽  
D. N. Politis
Keyword(s):  
Time Varying ◽  
Volatility Models

scholarly journals DOES GOLD INVESTMENT OFFER PROTECTION AGAINST STOCK MARKET LOSSES? EVIDENCE FROM FIVE COUNTRIES

2019 ◽  
Vol 65 (02) ◽  
pp. 275-301 ◽  
Author(s):  
MOHD FAHMI GHAZALI ◽  
HOOI HOOI LEAN ◽  
ZAKARIA BAHARI
Keyword(s):  
Stock Market ◽  
Minor Role ◽  
Time Varying ◽  
Safe Haven ◽  
Investment Demand ◽  
Regression Residuals ◽  
Volatility Models ◽  
The Us ◽  
The Uk ◽  
A Minor

This study aims to analyze the characteristics of gold as a diversifier, a hedge or a safe haven against the stock market collapse in five countries. We propose the standard and quantile techniques in the volatility models, with the time-varying conditional variance of the regression residuals based on the TGARCH specifications. Gold exhibits considerable evidence of the strong hedge in India and the US and diversified role in China. With regards to its role as a safe haven, gold retains its status as a key investment particularly in a country where gold has a preeminent cultural role, i.e., India, as well as in the US and the UK. On the contrary, gold only plays a minor role in emerging markets like in Malaysia. Therefore, investors in India and the US can use gold to protect against losses in the stock market at all times, whereas in the UK, gold is only viewed as a profitable asset to own during the stock market collapse. Contrariwise, Chinese investors should hold a well-diversified portfolio to earn sustainable returns and offer protection against the stock market collapse. We conclude that the recent worldwide financial crises have increased the investment demand for gold over the last 17 years at least.

Bayesian changepoint and time-varying parameter learning in regime switching volatility models

2015 ◽  
Vol 40 ◽  
pp. 198-212 ◽  
Author(s):  
M. Serdar Yümlü ◽  
Fikret S. Gürgen ◽  
A. Taylan Cemgil ◽  
Nesrin Okay
Keyword(s):  
Regime Switching ◽  
Time Varying ◽  
Parameter Learning ◽  
Volatility Models ◽  
Time Varying Parameter
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