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Meteor Shower - Springer Nature

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Last Updated: 16 January 2022

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Nonlinear examination of the ‘Heat Wave’ and ‘Meteor Shower’ effects between spot and futures markets of the precious metals

We investigate three types of Markov switching GARCH models in combination with three different distribution schemes to produce conditional volatilities. Both spot and futures markets of all precious metals are more intense than the "meteor shower" effect, according to us. We find that the "heat wave" effect is more strong than the "meteor shower" effect, which is true for both spot and futures markets of all precious metals. The results show that the ‘heat wave' effect is more prominent in high-risk situations than in low volatility periods, and that this effect is also more apparent in futures markets than in spot markets. The 'Meteor shower' effect in a low volatility regime is greater than in a high volatility environment, particularly in the futures market.

Source link: https://doi.org/10.1007/s00181-021-02148-7

* Please keep in mind that all text is summarized by machine, we do not bear any responsibility, and you should always check original source before taking any actions

* Please keep in mind that all text is summarized by machine, we do not bear any responsibility, and you should always check original source before taking any actions