Abstract
The metal markets have become extremely competitive and highly volatile due to financial globalisation. Therefore, in this study, the Value-at-Risk (VaR) and expected shortfall (ES) are estimated for the metal markets. A two-stage dynamic extreme value theory (EVT) method has been adopted along with the GARCH (1, 1) model to identify the pre-specified threshold for the metal market by using high-frequency returns data of 15-minute intervals ranging from 1st January, 2018 to 24th September, 2021, which provides accurate information about metal market volatility and tail distribution. Moreover, the empirical findings confirm the presence of a high level of volatility persistence in the metal market, especially in the financial returns of gold. Furthermore, silver metal returns exhibit the highest VaR compared to other metals in the market. The empirical results could assist financial investors and portfolio managers to minimise and control the potential risk in the market.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
More From: Journal of Risk Management in Financial Institutions
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.