On the Comovements Among Gold and Oil: A Multivariate Time-Varying Asymmetric Approach

Sirine Toumi


Previous studies have reported that there is a relationship among gold and oil prices. This research analyses how gold and oil prices variables interact focusing on different Global financial crisis (GFC) phases, we adopt a multivariate asymmetric dynamic conditional correlation GARCH framework, during the period spanning from January 1st, 2000 until December 31th, 2017. Our empirical results suggest correlations’ asymmetric responses among them. Moreover, the results indicate a correlations increase of gold and oil, during the crisis periods, suggesting different prices vulnerability.

JEL classification numbers: E3 D4

Keywords: DCC-FIAPARCH model, Global financial crisis, Volatility

DOI: 10.7176/JETP/9-7-01

Publication date:October 31st 2019

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ISSN (Paper)2224-3232 ISSN (Online)2225-0573

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