The volatility dynamics of spot and futures gold prices: Evidence from Russia

KIRKULAK ULUDAĞ B., Lkhamazhapov Z.

RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, vol.38, pp.474-484, 2016 (SSCI) identifier identifier

  • Publication Type: Article / Article
  • Volume: 38
  • Publication Date: 2016
  • Doi Number: 10.1016/j.ribaf.2016.07.003
  • Journal Name: RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE
  • Journal Indexes: Social Sciences Citation Index (SSCI), Scopus
  • Page Numbers: pp.474-484
  • Keywords: Long memory, Structural Breaks, Volatility spillover effect, Gold, Russia, AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY, STRUCTURAL BREAKS, PRECIOUS METALS, LONG MEMORY, MODELS, OIL
  • Dokuz Eylül University Affiliated: Yes

Abstract

We examine the long memory property and structural break in the spot and futures gold volatility in Russia from 2008 through 2013. We find strong evidence of long memory in the volatility of both spot and futures gold series. The break dates are associated with the recent global financial crisis. Moreover, we investigate the volatility spillover effect between the Russian spot and futures gold markets using the corrected Dynamic Conditional Correlation model (cDCC). The findings show relatively high level of conditional correlation between spot and futures gold returns. This outcome decreases the portfolio diversification benefits for gold investors. (C) 2016 Elsevier B.V. All rights reserved.