Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/269950 
Year of Publication: 
2020
Citation: 
[Journal:] Cogent Economics & Finance [ISSN:] 2332-2039 [Volume:] 8 [Issue:] 1 [Article No.:] 1802807 [Year:] 2020 [Pages:] 1-14
Publisher: 
Taylor & Francis, Abingdon
Abstract: 
This paper studies the effect of new gold derivatives products, including Gold-D and Gold Online Futures, on the futures price volatility of existing gold futures with two contract sizes, 50 baht-weight and 10 baht-weight, using symmetric and asymmetric GARCH family models, namely: GARCH (1,1), TARCH (1,1), and EGARCH (1,1) models. The results reveal the existence of leverage effect in TARCH (1,1) and EGARCH (1,1) models. Moreover, TARCH (1,1) is found as the best fitting model in modelling gold futures price volatility. The results confirm that the coming into market of Gold-D significantly reduces the price volatility of existing gold futures. There is not a significant negative relationship between the introduction of Gold Online Futures and the existing gold futures price volatility. Therefore, the results suggest regulatory authority to lower the level of margin requirements for the related futures contracts, along with the issuance of new derivatives products.
Subjects: 
GARCH family
gold futures
new contract
volatility
JEL: 
G13
G32
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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