The Conditional Dependence Structure between Precious Metals: A Copula-GARCH Approach
DOI:
https://doi.org/10.15678/ZNUEK.2015.0940.0402Słowa kluczowe:
metale szlachetne, struktura zależności, copula-GARCH, stany rynkuAbstrakt
Tytuł artykułu: Modelowanie warunkowej zależności między metalami szlachetnymi z wykorzystaniem modeli copula-GARCH
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.
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