Do Higher Asymmetry Threshold Effects Exist on the Gold Return Volatility during Highly Fluctuating Periods?
| العنوان: | Do Higher Asymmetry Threshold Effects Exist on the Gold Return Volatility during Highly Fluctuating Periods? |
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| المؤلفون: | Yeong-Jia Goo, Yu-Hui Liao |
| المصدر: | Sustainability, Vol 11, Iss 18, p 4829 (2019) Sustainability Volume 11 Issue 18 |
| بيانات النشر: | MDPI AG, 2019. |
| سنة النشر: | 2019 |
| مصطلحات موضوعية: | HMTAR-GARCH model, media_common.quotation_subject, Geography, Planning and Development, volatility, TJ807-830, Management, Monitoring, Policy and Law, TD194-195, Asymmetry, Renewable energy sources, 0502 economics and business, Econometrics, Economics, GE1-350, 050207 economics, Enterprise resource planning, Risk management, media_common, 050208 finance, Environmental effects of industries and plants, Renewable Energy, Sustainability and the Environment, business.industry, 05 social sciences, asymmetric threshold effect, gold, Investment portfolio, Environmental sciences, Econometric model, Return volatility, S-ERP, sustainable, Volatility (finance), business |
| الوصف: | The GJR-GARCH model is frequently used by researchers and academic institutions. However, the model conveys limited information, using zero as a threshold without considering other possible thresholds. This study shows that a favorable econometric model could be formed by constructing a hybrid momentum HMTAR-GARCH model. Our findings indicate that higher asymmetry momentum threshold effects exist on the gold return volatility during highly fluctuating periods. Sustainable Enterprise Resource Planning (S-ERP) systems could help in the formation of a good risk management strategy by using the HMTAR-GARCH model. Perhaps gold is more sustainable than many other financial assets in the creation of an investment portfolio. |
| وصف الملف: | application/pdf |
| اللغة: | English |
| تدمد: | 2071-1050 |
| URL الوصول: | https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b1195d5e1e09827158328ba06e2bdde4 https://www.mdpi.com/2071-1050/11/18/4829 |
| حقوق: | OPEN |
| رقم الأكسشن: | edsair.doi.dedup.....b1195d5e1e09827158328ba06e2bdde4 |
| قاعدة البيانات: | OpenAIRE |
| تدمد: | 20711050 |
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