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Finance and Credit

48(576) - 2013 December

Investment in precious metals: assessment of internal spillover-effects

ISSUE 48, DECEMBER 2013

Available online: 30 December 2013

Subject Heading: Investment potential

JEL Classification:

Fedorova E.A. Doctor of Economics, Professor, the Department of Financial Management, the Financial University under the Government of the Russian Federation
ecolena@mail.ru

Lanets I.V. Applicant of the Department of Financial Management, the Financial University under the Government of the Russian Federation
lanets-inna@yandex.ru

In the article internal spillover-effects between profitability and conditional volatility of palladium, gold, silver and platinum by means of GARCH modeling on the basis of daily data (1985-2013) are considered. The received results can be the basis for optimum investment strategy in the financial market.

Keywords: gold, palladium, platinum, silver, volatility, GARCH model, optimum portfolio, risk management

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ISSN 2311-8709 (Online)
ISSN 2071-4688 (Print)

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