Volatility Spillover Effect Study in U.S. Dollar and Gold Market Based On Bivariate-BEKK Model.

As the interaction between international and domestic financial markets increases, the interaction between gold market and financial markets also increases. Today, the financial attributes of gold play a more evidence role in dominating the gold price. Taking into account time-varying and dynamic properties of volatility spillover effect in the financial markets, this paper investigates the time-varying volatility relationship between gold markets and U.S. dollar by using the bivariate-BEKK. This paper also investigate whether gold volatility is significantly affected by its own prefluctuations, its aggregation and lasting properties, and the bi-directional volatility spillover between the gold market and U.S. dollar. [ABSTRACT FROM AUTHOR]