Abstract
To understand the dynamics and correlation of the physical prices of Platinum-Group Metals (PGMs), this paper investigated the dynamics of the physical price behaviour of PGMs and the correlation between platinum (Pt), palladium (Pd), rhodium (Rh), iridium (Ir) and ruthenium (Ru) using the daily N.Y. closing prices from July 1992 to August 2019. The empirical results of the EGARCH and VEC models indicate that the prices of PGMs have similar features and strong correlations with a high volatility cluster in a few business days. The yield series of the prices of PGMs have a significant leverage effect. Impulse response and variation decomposition explain the news impact effect between PGMs, which adds to the existing knowledge of the price behaviour of PGMs, where rhodium, ruthenium and iridium are rarely involved. The results of this paper are meaningful to participants, such as miners, officials and investors, in the PGMs market.
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