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<p>This study examines the dynamic connectedness among five precious metals: copper, platinum, palladium, silver, and gold using daily price data from January 2010 to January 2025. Using vector autoregression (VAR), vector error correction model (VECM), and time-varying parameter VAR (TVP-VAR) methodology our research assesses how the metals affect each other’s prices. The work demonstrates how these metals are interconnected in the short and long run. Results of the VAR model show that there are strong cross effects of platinum and gold on other metals, in contrast to palladium, which shows limited influence. The VECM results indicate that all metals have undergone long-term equilibrium adjustments, but they vary greatly in the speed and direction of the correction. The TVP-VAR analysis indicates that platinum transmits the maximum amount of spillovers while silver and platinum are both most sensitive to external spillovers. The Total Connectedness Index (TCI) remains above the 40% threshold specifically during non-economic shocks. The research’s findings contribute toward developing appropriate and effective risk management strategies for retail and institutional investors. Future research studies could use larger datasets, which include additional metals and other variables.</p>

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Price transmission and volatility spillovers among leading precious metals

  • 期刊论文

  • 发表日期：

    2026年3月2日

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  • Florin Aliu,
  • Artor Nuhiu

摘要

This study examines the dynamic connectedness among five precious metals: copper, platinum, palladium, silver, and gold using daily price data from January 2010 to January 2025. Using vector autoregression (VAR), vector error correction model (VECM), and time-varying parameter VAR (TVP-VAR) methodology our research assesses how the metals affect each other’s prices. The work demonstrates how these metals are interconnected in the short and long run. Results of the VAR model show that there are strong cross effects of platinum and gold on other metals, in contrast to palladium, which shows limited influence. The VECM results indicate that all metals have undergone long-term equilibrium adjustments, but they vary greatly in the speed and direction of the correction. The TVP-VAR analysis indicates that platinum transmits the maximum amount of spillovers while silver and platinum are both most sensitive to external spillovers. The Total Connectedness Index (TCI) remains above the 40% threshold specifically during non-economic shocks. The research’s findings contribute toward developing appropriate and effective risk management strategies for retail and institutional investors. Future research studies could use larger datasets, which include additional metals and other variables.