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Impact of Global Financial Crisis on Precious Metals Returns: An Application of ARCH and GARCH Methods

ABDUL KARIM, SAMSUL ARIFFIN (2012) Impact of Global Financial Crisis on Precious Metals Returns: An Application of ARCH and GARCH Methods. In: SIMPOSIUM KEBANGSAAN SAINS MATEMATIK KE 20 (SKSM 20) AIP INDEX, 18-20 DEC 2012, IOI RESORT, PUTRAJAYA. (In Press)

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Abstract

This paper is focusing on seeing the resilient of precious metals returns in facing the global financial crisis and provide a new guide for the investors before making investment decisions on precious metals. Four types of precious metals returns which are the variables selected in this study. The precious metals are gold, silver, bronze and platinum. All the variables are transferred to natural logarithm (ln). Daily data over the period 2 January 1995 to 30 December 2011 is used. Unit root tests that involve Augmented Dickey- Fuller (ADF) and Kwiatkowski-Phillips-Schmidt-Shin (KPSS) tests have been employed in determining the stationarity of the variables. Autoregressive Conditional Heteroscedasticity (ARCH) and Generalized Autoregressive Conditional Heteroscedasticity (GARCH) methods have been applied in measuring the impact of global financial crisis on precious metals returns. The result shows that investing in platinum is less risky compared to the other precious metals because it is not influence by the crisis period.

Item Type:Conference or Workshop Item (Paper)
Subjects:H Social Sciences > HA Statistics
Academic Subject One:MATHEMATICS
Departments / MOR / COE:Departments > Fundamental & Applied Sciences
Mission Oriented Research > Energy
ID Code:8884
Deposited By: Samsul Ariffin Abdul Karim
Deposited On:31 Jan 2013 23:53
Last Modified:31 Jan 2013 23:53

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