التفاصيل البيبلوغرافية
العنوان: |
Do Higher Asymmetry Threshold Effects Exist on the Gold Return Volatility during Highly Fluctuating Periods? |
المؤلفون: |
Yu-Hui Liao, Yeong-Jia Goo |
المصدر: |
MDPI, Sustainability. 11(18):1-14 |
سنة النشر: |
2019 |
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. |
نوع الوثيقة: |
redif-article |
اللغة: |
English |
الإتاحة: |
https://ideas.repec.org/a/gam/jsusta/v11y2019i18p4829-d264005.html |
رقم الأكسشن: |
edsrep.a.gam.jsusta.v11y2019i18p4829.d264005 |
قاعدة البيانات: |
RePEc |