| Popis: |
After serving as a medium of exchange for the human society, silver is still widely used in our daily life. From the jewellery, electronic and electrical industries as well as medicine, optics, the power industry, automotive industry and many other industries, silver is still playing a very active role. In addition to the industrial usage, silver also serves as an investment tool for many financial institutions. Thus, it is crucial to develop effective quantitative risk management tool for those financial institutions. In this paper, we investigate the conditional heavy tails of daily silver spot returns under the GARCH framework. Our results indicate that that it is important to introduce heavy-tailed distributions to the GARCH framework and the normal reciprocal inverse Gaussian (NRIG) distribution, a newly-developed distribution, has the best empirical performance in capture the daily silver spot returns dynamics. |
