Measuring extreme risk of sustainable financial system using GJR-GARCH model trading data-based |
| |
| Institution: | 1. College of Economics, Shenzhen University, Shenzhen 518060, China;2. Post-Doctoral Scientific Research Workstation, China Merchants Bank, Shenzhen 518010, China;3. College of Information Management, Zhengzhou University, Zhengzhou 450001, China;4. School of Management, Huazhong University of Science and Technology, Wuhan 430074, China;5. Shenzhen Graduate School, Harbin Institute of Technology, Shenzhen 518055, China;1. University of Sussex Business School, University of Sussex, United Kingdom;2. School of Management, Royal Holloway, University of London, United Kingdom;3. Kent Business School, University of Kent, United Kingdom |
| |
| Abstract: | This paper investigates the role of gold as a safe haven for stock markets and the US dollar by examining the extreme risk spillovers. The extreme risk is measured by Value at Risk (VaR), which is estimated by GJR-GARCH model based on skewed t distribution. Two test statistics of one-way and two-way Granger causality in risk are used to detect extreme risk spillovers. In general, the empirical results show that there are negative extreme risk spillovers between gold and stock markets and between gold and foreign exchange markets of US dollar, which indicate that gold can act as an effective safe haven against extreme stock and US dollar exchange rate movements. In addition, the global financial crisis can affect the safe haven role of gold. |
| |
| Keywords: | Extreme risk spillover Value at Risk Safe haven Granger causality in risk Global financial crisis |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
