Regime-Dependent Volatility Dynamics: Evidence from Time-Series Analysis

DOI

10.2991/978-94-6239-672-2_18How to use a DOI?

Keywords

Volatility modeling; Regime-dependent analysis; Time-series methods; Risk measurement; Applied statistics

Abstract

This paper examines the volatility hedging role of precious metals against U.S. stock market risk from a regime-based perspective. While a large literature documents the safe-haven properties of precious metals—particularly gold—based on price or return behavior during periods of market stress, far less is known about their effectiveness in hedging market volatility itself. This distinction is crucial, as price-level diversification does not necessarily imply a reduction in market uncertainty. Using volatility measures constructed from daily price data, the study investigates the relationship between precious metals volatility and stock market volatility across different market regimes defined by the periods before, during, and after the global financial crisis. The empirical results reveal pronounced regime dependence and asset heterogeneity in volatility hedging effectiveness. Gold, despite exhibiting price-level divergence from equity markets consistent with a safe-haven role, tends to co-move with stock market volatility across most regimes, indicating that its widely documented hedging properties do not extend to volatility risk. In contrast, other precious metals display more heterogeneous and regime-dependent volatility relationships, with limited evidence of volatility hedging emerging only under specific market conditions. Overall, the findings help reconcile conflicting evidence in the literature by highlighting the conceptual difference between price-based safe-haven behavior and volatility-based hedging, and they underscore the importance of explicitly accounting for market regimes when evaluating the risk management role of precious metals.

Copyright

© 2026 The Author(s)

Open Access

Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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TY  - CONF
AU  - Kai Cheng
AU  - Xiaoxi Qi
AU  - Zhiyuan Cheng
AU  - Longying Lai
AU  - Xuan Liu
PY  - 2026
DA  - 2026/05/12
TI  - Regime-Dependent Volatility Dynamics: Evidence from Time-Series Analysis
BT  - Proceedings of the 2026 3rd International Conference on Applied Economics, Management Science and Social Development (AEMSS 2026)
PB  - Atlantis Press
SP  - 179
EP  - 189
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6239-672-2_18
DO  - 10.2991/978-94-6239-672-2_18
ID  - Cheng2026
ER  -