The Macroeconomic Determinants of Volatility in Precious Metals Markets



Table 2: Summary Statistics of the Estimated Conditional Standard Deviations

Mean

Std. Deviation

Skewness

Kurtosis

S&P 500

.028

.006

.070

.073

S&P 500 Div. Yield

.915

.275

.872

1.039

World ex US

.029

.089

.549

.272

World ex US Div.

Yield

.770

.236

.245

-.291

Term Structure

1.001

.767

1.044

.403

US M2

.002

.000

1.069

2.464

Ind. Production

.328

.112

1.786

3.467

Inflation

.001

.000

.301

.093

US Dollar

.008

.001

-.173

.037

Con. Confidence

.046

.016

.704

.330

Gold

.026

.009

.996

2.271

Palladium

.066

.021

.385

-.201

Silver

.044

.014

.700

.830

Platinum

.037

.013

.344

-.042

Note- This table provides the descriptive statistics for conditional volatilities.

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