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• W2080247486 abstract "This paper examines the conditional and unconditional mean returns and variance of returns of daily gold and silver contracts over the 1982-2002 period. Despite the importance of these metals as industrial and investment products, they have received scant attention in recent years. In particular, we focus on the issue of whether there exists detectable daily seasonality in these moments. Using COMEX cash and futures data we find that under both parametric and nonparametric analysis the evidence is weak in the issue of daily seasonality for the mean but strong for the variance. There appears to be a negative Monday effect in both gold and silver, across cash and futures markets. When the mean and variance are analyzed simultaneously in a GARCH framework we note that a leveraged GARCH model provides a best fit for the data and that in framework the Monday seasonal does not disappear, indicating that it is not a risk-related artefact, the Monday dummy in the variance equations being significant also. No evidence of an ARCH-in-Mean effect is found." @default.
• W2080247486 created "2016-06-24" @default.
• W2080247486 creator A5010285399 @default.
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• W2080247486 date "2005-01-01" @default.
• W2080247486 modified "2023-10-17" @default.
• W2080247486 title "Seasonality, Risk And Return In Daily COMEX Gold And Silver Data 1982-2002" @default.
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• W2080247486 doi "https://doi.org/10.2139/ssrn.733103" @default.
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