{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,4,22]],"date-time":"2026-04-22T04:32:07Z","timestamp":1776832327890,"version":"3.51.2"},"reference-count":19,"publisher":"MDPI AG","issue":"2","license":[{"start":{"date-parts":[[2023,2,3]],"date-time":"2023-02-03T00:00:00Z","timestamp":1675382400000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Computation"],"abstract":"<jats:p>Several studies estimate the volatility spillover effects between gold and silver returns, but none of them used the implied volatility to evaluate the long-term relationship between these two metal markets. Our paper aims to fill this gap in the existing literature. This paper investigates the long-term volatility transmission between gold and silver; by using GARCH and VAR modelling, it finds that the volatility transmission from gold to silver is unidirectional. Volatility strategies using options can be designed to take advantage of this especially in times where the volatility transmission is not captured by the markets. Additionally, the results appear to be useful for gaining better portfolio diversification benefits. Investors, for instance, could use the results of this study for making proper investment decisions during the period of economic down-turns or inflation surges.<\/jats:p>","DOI":"10.3390\/computation11020025","type":"journal-article","created":{"date-parts":[[2023,2,3]],"date-time":"2023-02-03T05:09:20Z","timestamp":1675400960000},"page":"25","update-policy":"https:\/\/doi.org\/10.3390\/mdpi_crossmark_policy","source":"Crossref","is-referenced-by-count":11,"title":["On Volatility Transmission between Gold and Silver Markets: Evidence from A Long-Term Historical Period"],"prefix":"10.3390","volume":"11","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-1576-5845","authenticated-orcid":false,"given":"Alexandros","family":"Koulis","sequence":"first","affiliation":[{"name":"School of Social Sciences, Hellenic Open University, 263 35 Patra, Greece"}]},{"given":"Constantinos","family":"Kyriakopoulos","sequence":"additional","affiliation":[{"name":"Department of Mathematics, National and Kapodistrian University of Athens, 157 72 Athens, Greece"}]}],"member":"1968","published-online":{"date-parts":[[2023,2,3]]},"reference":[{"key":"ref_1","doi-asserted-by":"crossref","first-page":"81","DOI":"10.1002\/(SICI)1099-131X(199803)17:2<81::AID-FOR680>3.0.CO;2-B","article-title":"Investigating the relationship between gold and silver prices","volume":"17","author":"Escribano","year":"1998","journal-title":"J. Forecast."},{"key":"ref_2","doi-asserted-by":"crossref","first-page":"23","DOI":"10.1016\/j.frl.2017.06.010","article-title":"Uncovering frequency domain causality between gold and the stock markets of China and India: Evidence from implied volatility indices","volume":"23","author":"Bouri","year":"2017","journal-title":"Financ. Res. Lett."},{"key":"ref_3","doi-asserted-by":"crossref","first-page":"473","DOI":"10.1016\/j.resourpol.2018.04.009","article-title":"Nonlinear relationships amongst the implied volatilities of crude oil and precious metals","volume":"61","author":"Dutta","year":"2019","journal-title":"Resour. Policy"},{"key":"ref_4","doi-asserted-by":"crossref","first-page":"299","DOI":"10.1016\/S1044-0283(01)00034-5","article-title":"On the long run relationship between gold and silver prices A note","volume":"12","author":"Ciner","year":"2002","journal-title":"Glob. Financ. J."},{"key":"ref_5","doi-asserted-by":"crossref","first-page":"47","DOI":"10.1080\/17446540500426789","article-title":"The evolving relationship between gold and silver 1978\u20132002: Evidence from a dynamic cointegration analysis: A note","volume":"2","author":"Lucey","year":"2006","journal-title":"Appl. Financ. Econ. Lett."},{"key":"ref_6","doi-asserted-by":"crossref","first-page":"561","DOI":"10.1080\/14697688.2012.708777","article-title":"The structure of gold and silver spread returns","volume":"13","author":"Batten","year":"2013","journal-title":"Quant. Financ."},{"key":"ref_7","doi-asserted-by":"crossref","first-page":"44","DOI":"10.1016\/j.jbankfin.2017.11.010","article-title":"Are gold and silver cointegrated? New evidence from quantile cointegrating regressions","volume":"88","author":"Schweikert","year":"2018","journal-title":"J. Bank. Financ."},{"key":"ref_8","doi-asserted-by":"crossref","first-page":"101","DOI":"10.1016\/j.frl.2018.04.007","article-title":"The dynamic causality between gold and silver prices in China market: A rolling window bootstrap approach","volume":"28","author":"Liu","year":"2019","journal-title":"Financ. Res. Lett."},{"key":"ref_9","doi-asserted-by":"crossref","first-page":"102292","DOI":"10.1016\/j.resourpol.2021.102292","article-title":"Has the long-run relationship between gold and silver prices really disappeared? Evidence from an emerging market","volume":"74","author":"Sami","year":"2021","journal-title":"Resour. Policy"},{"key":"ref_10","doi-asserted-by":"crossref","first-page":"133","DOI":"10.1016\/j.iimb.2021.03.007","article-title":"A study of excess volatility of gold and silver","volume":"33","author":"Kayal","year":"2021","journal-title":"IIMB Manag. Rev."},{"key":"ref_11","doi-asserted-by":"crossref","first-page":"119","DOI":"10.1016\/j.frl.2016.07.002","article-title":"Quantile behaviour of cointegration between silver and gold prices","volume":"19","author":"Zhu","year":"2016","journal-title":"Financ. Res. Lett."},{"key":"ref_12","doi-asserted-by":"crossref","first-page":"117","DOI":"10.1016\/j.inteco.2018.10.001","article-title":"Conditional quantiles and tail dependence in the volatilities of gold and silver","volume":"157","author":"Bouri","year":"2018","journal-title":"Int. Econ."},{"key":"ref_13","doi-asserted-by":"crossref","first-page":"113","DOI":"10.1016\/j.iref.2012.06.008","article-title":"Volatility transmission between gold and oil futures under structural breaks","volume":"25","author":"Ewing","year":"2013","journal-title":"Int. Rev. Econ. Financ."},{"key":"ref_14","doi-asserted-by":"crossref","first-page":"73","DOI":"10.1016\/j.eap.2021.04.009","article-title":"Oil and precious metals: Volatility transmission, hedging, and safe haven analysis from the Asian crisis to the COVID-19 crisis","volume":"71","author":"Mensi","year":"2021","journal-title":"Econ. Anal. Policy"},{"key":"ref_15","doi-asserted-by":"crossref","first-page":"102101","DOI":"10.1016\/j.resourpol.2021.102101","article-title":"Intraday volatility transmission among precious metals, energy and stocks during the COVID-19 pandemic","volume":"72","author":"Farid","year":"2021","journal-title":"Resour. Policy"},{"key":"ref_16","doi-asserted-by":"crossref","unstructured":"Iqbal, N., Bouri, E., Liu, G., and Kumar, A. (2022). Volatility spillovers during normal and high volatility states and their driving factors: A cross-country and cross-asset analysis. Int. J. Financ. Econ.","DOI":"10.1002\/ijfe.2717"},{"key":"ref_17","doi-asserted-by":"crossref","first-page":"103011","DOI":"10.1016\/j.resourpol.2022.103011","article-title":"Persistence and volatility spillovers of bitcoin price to gold and silver prices","volume":"79","author":"Yaya","year":"2022","journal-title":"Resour. Policy"},{"key":"ref_18","doi-asserted-by":"crossref","first-page":"103133","DOI":"10.1016\/j.resourpol.2022.103133","article-title":"Do oil, gold and metallic price volatilities prove gold as a safe haven during COVID-19 pandemic? Novel evidence from COVID-19 data","volume":"80","author":"Cui","year":"2023","journal-title":"Resour. Policy"},{"key":"ref_19","doi-asserted-by":"crossref","first-page":"307","DOI":"10.1016\/0304-4076(86)90063-1","article-title":"Generalized autoregressive conditional heteroskedasticity","volume":"31","author":"Bollerslev","year":"1986","journal-title":"J. Econ."}],"container-title":["Computation"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.mdpi.com\/2079-3197\/11\/2\/25\/pdf","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,10,10]],"date-time":"2025-10-10T18:23:21Z","timestamp":1760120601000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.mdpi.com\/2079-3197\/11\/2\/25"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2023,2,3]]},"references-count":19,"journal-issue":{"issue":"2","published-online":{"date-parts":[[2023,2]]}},"alternative-id":["computation11020025"],"URL":"https:\/\/doi.org\/10.3390\/computation11020025","relation":{},"ISSN":["2079-3197"],"issn-type":[{"value":"2079-3197","type":"electronic"}],"subject":[],"published":{"date-parts":[[2023,2,3]]}}}