Abstract
One of the main purposes of studying volatility spillover effects is for economic benefits. Such studies provide useful insights into how information is transmitted from one market to another. US financial crisis has an impact on international gold market by some transmission channels. Using trivariate generalized autoregressive conditional heteroscedasticity (GARCH) model, the time-varying volatility relationships between international gold market, Malaysia's gold bullion coins called Kijang Emas (KE) and US index are investigated. The findings are useful to investors, commercial banks and researchers as they look for measures at the policy level that can safeguard and avoid adverse impact of fluctuations in gold prices.
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