Impacts of Volatility Shocks on Gold’s Rate of Return in the Forex Market: Using EGARCH and TGARCH Models

Abstract

Many studies indicated that positive shocks and negative shocks have different impacts on the volatility of financial markets. However, some studies have not found experimental evidence supporting this difference. In this article, the closing price data of the Forex gold index from January 1, 2019 to December 19, 2023, was analysed to compare the impact of shocks on the volatility of the Forex gold index’s return ratio. Using EGARCH and TGARCH models, the results showed that positive shocks have a more substantial influence on volatility compared to adverse shocks.