Do Higher Asymmetry Threshold Effects Exist on the Gold Return Volatility during Highly Fluctuating Periods?
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DOI: 10.3390/su11184829
Abstract: The GJR-GARCH model is frequently used by researchers and academic institutions. However, the model conveys limited information, using zero as a threshold without considering other possible thresholds. This study shows that a favorable econometric model… read more here.
Keywords: effects exist; threshold effects; return volatility; higher asymmetry ... See more keywords