Volatility spillover effect study in U.S. dollar and gold market based on bivariate-BEKK model

Abstract

Abstract. As the interaction between international and domestic financial markets increases, the interaction between gold market and financial markets also increases. Today, the financial attributes of gold play a more evidence role in dominating the gold price. Taking into account time-varying and dynamic properties of volatility spillover effect in the financial markets, this paper investigates the time-varying volatility relationship between gold markets and U.S. dollar by using the bivariate-BEKK. This paper also investigate whether gold volatility is significantly affected by its own prefluctuations, its aggregation and lasting properties, and the bi-directional volatility spillover between the gold market and U.S. dollar.

Dependence and Risk Spillover among Hedging Assets: Evidence from Bitcoin, Gold, and USD

“…As two commonly used hedging assets, the relationship between gold and USD has been widely explored [1,5,[24][25][26][27][28][29][30][31][32][33][34].…”