Analysis of precious metals' volatility with autoregressive conditional heteroscedasticity models at periods of financial crises

Being accepted as precious metals, gold, silver, platinum and palladium are quite different each other with regard to their usage areas, the place and importance of financial markets. Especially under today's conditions, economic, political and geopolitical instability being experienced on the global scale, increased precious metals investments. Purpose of this study, analyze volatility of precious metals with the aim of Otoregressive Conditional Heteroskedasticty models and determine volatility behavior of precious metals and explain properties of precious metals' portfolios. First chapter of this study, precious metals took individually and examined supply and demand characteristics, usage areas and return performances on the both local and global scale. Second chapter, studied of theoretical framework of stationarity concept, unit root tests, ARIMA and Autoregressive Conditional Heteroskedasticity models. Third chapter, precious metals' data set constructed in the period of 02.04.1990 and 02.02.2017 with daily closing prices. Volatility of precious metals determined with the help of Autoregressive and Generalized Autoregressive Conditional Heteroscedasticity (ARCH)- (GARCH) typed models. Due to data set contained 1997 Asian Crisis and 2007 Global Crisis, volalilty breaks were tried to determine with the method of dummy variable. Volatility breake was found in gold, silver and palladium return series in 2008 Global Crisis. Due to portfolio diversification and risk minimalization, tried to find negatively correlated precious metals, in this manner gold and silver were observed that same volatility behaviour. Putting on same portfolio of precious metals, provide some advantages that gold - platinum or palladium - silver which have poorly correlated with each other. Keywords: Precious metals, Volatility, Volatility of Precious Metals, Autoregressive Conditional Heteroskedasticity