Do Higher Asymmetry Threshold Effects Exist on the Gold Return Volatility during Highly Fluctuating Periods?

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ID: 69915
2019
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Abstract
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.
Reference Key
liao2019dosustainability Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Liao, Yu-Hui;Goo, Yeong-Jia;
Journal sustainability
Year 2019
DOI
DOI not found
URL
https://www.mdpi.com/2071-1050/11/18/4829
Keywords
Biology (General) environmental effects of industries and plants renewable energy sources environmental sciences economics as a science agriculture finance social sciences economic theory. demography probabilities. mathematical statistics

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