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

• Authors: Stanisław Wanat , Monika Papież , Sławomir Śmiech

Title variants

PL

Modelowanie warunkowej zależności między metalami szlachetnymi z wykorzystaniem modeli copula-GARCH

• Languages of publication: EN

Abstracts

EN

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.

PL

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.

Keywords

EN

precious metals; dependence structure; copula-GARCH; market states

PL

metale szlachetne; struktura zależności; copula-GARCH; stany rynku

• Publisher: Wydawnictwo Uniwersytetu Ekonomicznego w Krakowie
• Journal: Zeszyty Naukowe Uniwersytetu Ekonomicznego w Krakowie
• Year: 2015
• Issue: 4(940)
• Pages: 19-33

Contributors

author

Stanisław Wanat

• Uniwersytet Ekonomiczny w Krakowie, Katedra Statystyki, ul. Rakowicka 27, 31-510 Kraków, Poland

author

Monika Papież

• Uniwersytet Ekonomiczny w Krakowie, Katedra Statystyki, ul. Rakowicka 27, 31-510 Kraków, Poland

author

Sławomir Śmiech

• Uniwersytet Ekonomiczny w Krakowie, Katedra Statystyki, ul. Rakowicka 27, 31-510 Kraków, Poland

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Identifiers

DOI

10.15678/ZNUEK.2015.0940.0402