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Volatility Analysis Of Precious Metals Returns And Oil Returns, Lucia Morales, Bernadette Andreosso

Conference papers

This study examines volatility persistence on precious metals returns taking into account oil returns and the three world major stock equity indices (Dow Jones Industrials, FTSE 100, and Nikkei 225) using daily data over the sample period January 1995- May 2008. We first determine when large changes in the volatility of each market returns occur, by identifying major global events that would increase the volatility of these markets; the Iterated Cumulative Sums of Squares (ICSS) algorithm helps identify the break points or sudden changes in the variance of returns in each market using the standardized residuals obtained through the GARCH(1,1) …