Assessing the influence of news indicator on volatility of precious metals prices through GARCH-MIDAS model: A comparative study of pre and during COVID-19 period

被引：15

作者：

Khaskheli, Asadullah ^{[1
]}

Zhang, Hongyu ^{[2
]}

Raza, Syed Ali ^{[3
]}

Khan, Komal Akram ^{[3
]}

机构：

[1] Hainan Univ, Sch Management, Haikou, Hainan, Peoples R China

[2] Southwest Jiaotong Univ, Sch Econ & Management, Chengdu, Peoples R China

[3] IQRA Univ, Dept Business Adm, Karachi 75300, Pakistan

来源：

RESOURCES POLICY | 2022年 / 79卷

基金：

中国国家自然科学基金;

关键词：

Precious metals; News indicator; COVID-19; GARCH-MIDAS; STOCK-MARKET VOLATILITY; GOOGLE SEARCH; SAFE HAVEN; GOLD; UNCERTAINTY; INTENSITY; INDEXES; ENERGY; SPOT;

D O I：

10.1016/j.resourpol.2022.102951

中图分类号：

X [环境科学、安全科学];

学科分类号：

08 ; 0830 ;

摘要：

The research aims to discover the influence of news indicator on the volatility of precious metals prices. It highlights an essential aspect by focusing on comparing pre and during COVID-19 period. For this purpose, an advanced econometric technique, i.e., Generalized Autoregressive Conditional Heteroskedasticity variant of Mixed Data Sampling (GARCH MIDAS), has been employed. The full sample results demonstrate that news relating to any of the precious metals is likely to affect their volatilities, except palladium. In the case of during the COVID-19 sample, the outcomes reveal that fear-induced news raises the return volatilities of gold and palladium; thereby, both are highly sensitive to the recent pandemic. In contrast, silver and platinum are found to have less impact.

引用

页数：11

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