Record Details


Field	Value

ISSN	2537-141X

Authentication Code	dc

Title Statement	A NEW EMPIRICAL INVESTIGATION OF THE PLATINUM SPOT RETURNS

Added Entry - Uncontrolled Name	Kruse, Simone Tischer, Thomas Wittig, Timo Wittig

Summary, etc.	The global platinum market has been in downturn and unstable for five consecutive years, and thus market participants are demanding effective quantitative risk management tools. Since platinum is so widely used and serves as an important investment vehicle, the importance of risk management of platinum spot returns cannot be understated. In this paper, we take advantage of a very popular econometric model, the generalized autoregressive conditional heteroscedasticity (GARCH) model, for platinum returns. We received two important findings by using the conventional GARCH models in explain daily platinum spot returns. First, it is crucial to introduce heavy-tailed distribution to explain conditional heavy tails; and second, the NRIG distribution performs better than the most widely-used heavy-tailed distribution, the Student’s t distribution.

Publication, Distribution, Etc.	Journal of Smart Economic Growth

Electronic Location and Access	application/pdf http://jseg.ro/ojs/index.php/jseg/article/view/39

Data Source Entry	Journal of Smart Economic Growth; Vol 2, No 2 (2017): JSEG VOL. 2 NO. 2 YEAR 2017

Language Note	eng

Terms Governing Use and Reproduction Note	Copyright (c) 2017 Simone Kruse

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