2015 | 4(940) | 19-33
Article title

The Conditional Dependence Structure between Precious Metals: A Copula-GARCH Approach

Title variants
Modelowanie warunkowej zależności między metalami szlachetnymi z wykorzystaniem modeli copula-GARCH
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The aim of the paper is to analyse the conditional dependence structure between precious metal returns using a copula-DCC-GARCH approach. Conditional correlation matrices are used to identify the states of the precious metals market by assuming that a given state of the market corresponds to a typical pattern of the conditional dependence structure. Cluster analysis allows for pointing at transition points between the market states, that is the points of drastic change in the conditional dependence structure. The application of the methodology described above to the period between 1997 and 2013 indicates three market states of four major precious metals (gold, silver, platinum and palladium). The results obtained reveal a sudden increase in dependencies between precious metals at the turn of April and May 2004.
W pracy analizowano warunkową strukturę zależności na rynku metali szlachetnych z wykorzystaniem modeli copula-DCC-GARCH. Na podstawie warunkowych macierzy korelacji rozpoznano stany rynku metali szlachetnych. W tym celu przyjęto, że określonemu stanowi rynku odpowiada typowy wzór warunkowej struktury zależności. Momenty przejścia pomiędzy poszczególnymi stanami odpowiadające nagłym (drastycznym) zmianom w warunkowej strukturze zależności zidentyfikowano, wykorzystując metody grupowania. Zastosowanie opisanej metodologii pozwoliło w okresie od 1997 r. do 2013 r. wyodrębnić trzy stany rynku czterech metali szlachetnych (złoto, srebro, platyna, pallad). Badania wskazały także na znaczny wzrost zależności między rozważanymi metalami na przełomie kwietnia i maja 2004 r.
  • Uniwersytet Ekonomiczny w Krakowie, Katedra Statystyki, ul. Rakowicka 27, 31-510 Kraków, Poland
  • Uniwersytet Ekonomiczny w Krakowie, Katedra Statystyki, ul. Rakowicka 27, 31-510 Kraków, Poland
  • Uniwersytet Ekonomiczny w Krakowie, Katedra Statystyki, ul. Rakowicka 27, 31-510 Kraków, Poland
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