Measuring the Volatility in Gold Prices of India during the Russia-Ukraine Crisis: Evidence from the TGARCH Model
DOI:
https://doi.org/10.31674/ijmhs.2025.v09i02.006Abstract
Background: The Russia-Ukraine conflict has significantly impacted global financial markets, particularly commodity prices, with gold being a key asset. In India, gold holds cultural and economic importance, amplifying its relevance during geopolitical crises. Objective: This study aims to analyse the volatility in gold prices in India during the Russia-Ukraine crisis, focusing on asymmetries in gold price returns and the long-memory effects of the crisis on these prices. Methods: Daily gold price data (in rupees per gram) from January 1, 2021, to October 28, 2023, were used, totalling 1030 observations. A dummy variable representing the conflict period was introduced. The Augmented Dickey-Fuller (ADF) unit root test was applied to check for stationarity, and the Threshold GARCH (T-GARCH) model was employed to assess volatility and leverage effects. Results: The analysis found significant volatility in gold prices during the crisis. The T-GARCH model showed a leverage effect, with negative returns influencing future volatility more than positive returns. Unit root tests confirmed stationarity in the gold price series after the first difference. Conclusion: The study demonstrates that geopolitical crises like the Russia-Ukraine conflict contribute to volatility clustering in gold prices. The results emphasise the role of gold as a safe-haven asset, providing valuable insights for investors and policymakers, particularly in countries like India, where gold is culturally and economically significant.
Keywords:
Asymmetries, Gold Price, Russia-Ukraine Crisis, VolatilityDownloads
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