Investigating The Volatility Transmissions among Exchange Rate, Equally weighted stock index, Gold ETF and Bitcoin Using the DECO-GARCH
Quarterly Journal of Securities Exchange

Quarterly Journal of Securities Exchange

Investigating The Volatility Transmissions among Exchange Rate, Equally weighted stock index, Gold ETF and Bitcoin Using the DECO-GARCH

Document Type : Original Article

Authors
1 Professor, Department of Economic, Faculty of Economic & Management, Semnan University, Semnan, Iran.
2 Associate Professor, Department of Management, Faculty of Economic & Management, Semnan University, Semnan, Iran
3 Ph.D. Student, Department of Financial Engineering, Faculty of Economic & Management, Semnan University, Semnan, Iran.
Abstract
The main purpose of this study is to investigate the Volatility Spillovers between the Dollar/Rial, Gold ETF, equally weighted stock index and bitcoin. In this research, the daily data of return of dollar/rial, Gold ETF (LOTUS Gold Fund), the E-W Index and bitcoin during the period of November 2016 to July 2023 have been used. In this study, the ARMA (1,1) model was used to extract the residuals, then the DECO-GARCH model was used to check the volatility spillovers. The results of the estimation of the DECO-GARCH model confirm the existence of the spillover effect and the Volatility transmission between the Retuns of the dollar, the Lotus Gold Fund, the E-W Index, and bitcoin, so that the fluctuation and Volatility in the price of each of the markets fluctuate instantaneously, other markets are affected. The evidence shows that the financial markets are not separate from each other and relate to each other, so the Volatility can be transferred from one market to another market. As a result, the analysis of a financial asset market without considering the conditions of other markets is almost without credibility and analysts are needed. Investors and policy makers should make their decisions and evaluations based on the relationships between different financial asset markets, according to the results obtained, which indicate the existence of Volatility transmission, investors, and portfolio managers to reduce risk and to choose the optimal portfolio They can benefit from the findings of this research.
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Subjects

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