Volatility Transmission and Spill-over among Equity, Exchange and Gold Markets

Different commodity markets and types of financial assets get volatility in economic condition. In many cases, the volatility transmits from one market to another. Studying volatility spill-over among equity, exchange and gold markets is this research main purpose. Modeling volatility contemporaneous transmission between above-mentioned markets has been done by using structural vector autoregressive (SVAR) model and maximum likelihood estimation method. Impulse response functions whit shock effects timing implied that shock effects of variables on each other will be eliminated offer six months. After ensuring the absence of variance heteroskedastisity in residual series with Engel's ARCH test, the results of the model regression with conditional GARCH for SVAR model residuals show variables significantly depend on one period lag. In SVAR model the correlation between dollar and gold coin during the time is approximately equal to one and the correlation between index and dollar as well as index and gold coin is almost equal. In order to evaluate news effects and each of the three variables shocks on each other using variance decomposition method whit structural approach, spill-over volatility among the three variables have been reviewed. The major share of the prediction error variance or shock effects at TSE index in long term, were originated from TSE index then dollar and gold coin had the highest share respectively. Finally, the most volatility effect of gold coin was explained by using dollar.