A Study on Asymmetric Effect of Gold and Crude Oil Price Volatility
AUTHORS
Cha Soon Choi,Associate Professor 31020 Dept. of Real Estate Studies, Namseoul University, 91 Daehakro, Seonghwan-eup, Seobuk-gu, Sheonan-si, Chungnam, Seoul, Korea
ABSTRACT
In this study, we analyzed whether the volatility of gold and oil prices is asymmetric according to the type of information using GJR (1,1)-MA (1) model and EGARCH (1,1)-MA (1) model. The data used for the analysis is the daily index for gold and crude oil prices from January 2, 2015 to June 2019. Through these analysis, serveral remarkable results are found, it was found that crude oil has an asymmetric response to volatility regardless of the volatility estimation model. Gold was found to have asymmetry in variability only in the EGARCH (1,1)-MA (1) model. As the oil market can see asymmetric volatility in bad news rather than good news, it is necessary to supply crude oil stably when economic conditions are more favorable.
KEYWORDS
Gold price, Oil price, Volatility, Asymmetric effect, GJR model
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