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Publication
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| Research Title |
Dynamic linkages among oil price, gold price and Bitcoin:
Evidence from Diagonal BEKK-GARCH Model |
| Date of Distribution |
4 October 2020 |
| Conference |
| Title of the Conference |
SIBR Conference on Interdisciplinary Business & Economics Research |
| Organiser |
Society of Interdisciplinary Business Research |
| Conference Place |
Kuala Lumpur, Malaysia |
| Province/State |
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| Conference Date |
2 October 2020 |
| To |
3 October 2020 |
| Proceeding Paper |
| Volume |
9 |
| Issue |
4 |
| Page |
u20-059 |
| Editors/edition/publisher |
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| Abstract |
This study propose is to dynamic linkages between gold price, crude oil price
and bitcoin by using daily close price data from 2010, July to 2020, June and total
data as 3,638 days .The study applies Diagonal BEKK GARCH model methodology
for the purpose of analyze a volatility spillover of variables in positive or negative
way. The empirical results that show volatility spillover effect of all variables is
positive which the highest estimate parameters is bitcoin return and crude oil price.
And form analysis it conditional variance of each variables, found that its coefficient
is positive which show this result can explain that historical volatility can effected a
volatility in the future, in addition a changed of Bitcoin return it affect to gold price
return and crude oil return in the same direction. Summary a statistical test show is
not have autocorrelation problem and that is A Diagonal BEKK-GARCH Model can
appropriate model to analysis the relationship of those variables. |
| Author |
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| Peer Review Status |
มีผู้ประเมินอิสระ |
| Level of Conference |
นานาชาติ |
| Type of Proceeding |
Full paper |
| Type of Presentation |
Oral |
| Part of thesis |
true |
| Presentation awarding |
false |
| Attach file |
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| Citation |
0
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Journal Publication
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