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Journals / Journal of Business Innovation and Governance / 2025 / Cilt: 8 Sayı: 2

VOLATILITY INTERACTION BETWEEN FUTURE GOLD INDEX AND SELECTED STOCK EXCHANGE INDICES: DCC GARCH ANALYSIS

VADELİ ALTIN ENDEKSİ VE SEÇİLİ BORSA ENDEKSLERİ ARASINDAKİ VOLATİLİTE ETKİLEŞİMİ: DCC GARCH ANALİZİ

Yasin Eryılmaz(AKDENİZ ÜNİVERSİTESİ, SOSYAL BİLİMLER ENSTİTÜSÜ)0000-0003-4881-0080
Nuri Avşarlıgil(AKDENIZ UNIVERSITY FACULTY OF APPLIED SCIENCES)0000-0002-4401-2236
Pages
64–80
Publication Date
2025-12-30
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

At the same time, the Dow Jones Futures Index and the Hong Kong Stock Exchange Futures Index were identified as important futures indices that have a two-sided volatility interaction with the Futures Gold Index.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:This study aims to determine the impact of volatility on the most traded futures indices worldwide and to provide a more accurate market analysis for investor decisions by leveraging the relationships between these indices.
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Key Findings & Data:Analyses were conducted using 483-day data from February 12, 2024, to August 29, 2025, and volatility spillover was identified among the futures indices.
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Conclusion & Impact:At the same time, the Dow Jones Futures Index and the Hong Kong Stock Exchange Futures Index were identified as important futures indices that have a two-sided volatility interaction with the Futures Gold Index.
🔬Design:Modeling & Simulation
📍Scope:2024 Verileri
⚙️Variables:Volatilite tahmini · Volatilite modelleri · Uluslararası Finans Piyasaları

Abstract

This study aims to determine the impact of volatility on the most traded futures indices worldwide and to provide a more accurate market analysis for investor decisions by leveraging the relationships between these indices. For this purpose, the volatility relationship between the Gold Futures Index, the Dow Jones Industrial Average, the London Stock Exchange Futures Index, the European Futures Index, the Tokyo Stock Exchange Futures Index, and the Hong Kong Stock Exchange Futures Index was examined using the DCC-GARCH model. Analyses were conducted using 483-day data from February 12, 2024, to August 29, 2025, and volatility spillover was identified among the futures indices. The Gold Futures Index, in particular, emerged as a variable affecting all markets except the Tokyo Stock Exchange Futures Index. At the same time, the Dow Jones Futures Index and the Hong Kong Stock Exchange Futures Index were identified as important futures indices that have a two-sided volatility interaction with the Futures Gold Index.

Özet

Bu çalışmada, dünya çapında en çok işlem gören vadeli endeksler açısından volatilitenin nasıl bir etkisinin olduğunun belirlenmesi amaçlamakta ve yatırımcı kararları açısından endekler arası ilişkilerin kullanılarak daha doğru bir piyasa analizi yapılması hedeflenmektedir. Bu amaçla Vadeli Altın Endeksinin, Dow Jones Vadeli Endeksi, Londra Borsası Vadeli Endeksi, Avrupa Vadeli Borsa Endeksi, Tokyo Menkul Kıymetler Borsası Vadeli Endeksi ve Hong Kong Borsası Vadeli Endeksi ile bolatilite ilişkisi DCC-GARCH modeli kullanılarak incelenmiştir. 12.02.2024-29.08.2025 tarihleri arasındaki 483 günlük veriler kullanılarak analizler yapılmış ve Vadeli endeksler arasında volatitile yayılımının gerçekleştiği tespit edilmiştir. Özellikle Vadeli Altın Endeksi, Tokyo Menkul Kıymetler Borsası Vadeli Endeksi hariç diğer tüm piyasaları etkileyen bir değişken olarak karşımıza çıkmıştır. Aynı zamanda Dow Jones Vadeli Endeksi ve Hong Kong Borsası Vadeli Endeksi, Vadeli Altın Endeksi ile çift taraflı volatilite etkileşimi içinde olan önemli vadeli endeksler olarak tespit edilmiştir.

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Cite This Article

Eryılmaz, Y., Avşarlıgil, N. (2025). VOLATILITY INTERACTION BETWEEN FUTURE GOLD INDEX AND SELECTED STOCK EXCHANGE INDICES: DCC GARCH ANALYSIS. Journal of Business Innovation and Governance, Cilt: 8 Sayı: 2, 64–80. https://doi.org/10.54472/jobig.1823815

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