貴金屬市場的波動外溢與緩長記憶效果之研究──GARCH、EGARCH與FIGARCH模型

Volatility Spillover and Long Memory in Precious Metal Markets-GARCH, EGARCH and FIGARCH Models

本研究利用GARCH、EGARCH與FIGARCH模型探討黃金、白銀、鉑和鈀等貴金屬在考慮利率、美元匯率、股價指數等總體經濟變數下之波動外溢效果、漲跌不對稱效果以及緩長記憶效果。由GARCH與EGARCH顯示報酬傳遞機制係由利率傳遞至黃金、白銀、鉑。又因美元與黃金、白銀皆是國際準備資產，美元匯率的衝擊變大會減緩黃金、白銀波動度；但是卻加劇鈀的波動度。雖然鈀也是貴金屬的一員，但是其屬性與其他三個貴金屬差異頗大。另外，2008年次貸金融風暴會對四個貴金屬均產生正向之波動外溢效果。由EGARCH結果顯示，僅有鈀的波動度存在漲跌不對稱效果；而在預期壞消息時白銀會是較佳的避險商品。另一方面，FIGARCH實證結果得知四種貴金屬的波動皆存在緩長記憶效果，其中鈀受到衝擊的影響期間較長，而鉑的影響期間最短，表示四種貴金屬除了短期會受衝擊影響，且影響期間還會持續一段時間後再隨之遞減。

This paper employs three models of the GARCH family (GARCH, EGARCH and FIGARCH) to investigate the volatility spillovers, leverage effects and long-memory properties of four major precious metals(gold, silver, platinum and palladium), while account for the macroeconomic shocks of US interest rate, US exchange rate, S&P500 Index and VIX index. The empirical results of GARCH and EGARCH shows that the return transmission takes place from interest rate to the precious metal markets except palladium. In Addition, since US dollar, gold and silver are international reserve assets, US exchange rate shocks have dampening effects on the volatilities of gold and silver whereas heightening effects on palladium. These results point to differences between palladium and other three precious metals. Precious metals are too distinct to be considered a single asset class. Furthermore, the 2008 Subprime Mortgage Crisis heightens all precious metal volatilities. The EGARCH results suggest that the leverage effect is present and significant for palladium only, implying that silver can be good investment in anticipation of bad times. On the other hand, the FIGARCH shows that the volatility processes of the four precious metals exhibit long-memory properties. The volatility of palladium exhibits the highest long- memory and platinum exhibits the shortest one. Not only does these four precious metals affected by shocks in short run but also gradually decayed as time passes.