Abstract:
This research employed the Generalized Autoregressive Conditional Heteroskedasticity-in-Mean-Autoregressive
Moving Average (GARCH-M-ARMA)
and the Exponentially Generalized Autoregressive Conditional Heteroskedasticity-in-Mean-Autoregressive
Moving Average (EGARCH-M-ARMA) models
to investigate the spillover and leverage effects in the returns and volatilities
of precious metal (base metal) ETFs. Significant positive relationships
were found between precious metal (base metal) ETFs and precious metal
(base metal) price indices. Further, the positive relationship between risk and
return was illustrated in daily precious metal (base metal) ETFs.
