One of the main purposes of studying volatility spillover effects is for economic benefits. Such studies provide useful insights into how information is transmitted from one market to another. US financial crisis has an impact on international gold market by some transmission channels. Using trivariate generalized autoregressive conditional heteroscedasticity (GARCH) model, the time-varying volatility relationships between international gold market, Malaysia's gold bullion coins called Kijang Emas (KE) and US index are investigated. The findings are useful to investors, commercial banks and researchers as they look for measures at the policy level that can safeguard and avoid adverse impact of fluctuations in gold prices.

Exchange rate forecasts are important because these forecasts help in hedging decisions, capital budgeting decisions and earnings assessments. While numerous methods are available for forecasting exchange rates, the current study employs time series models to forecast daily data of US Dollar exchange rate against Malaysian Ringgit (USD/MYR). Using hybrid ARIMA-GARCH and hybrid ARIMA-EGARCH models, the modelling and forecasting performances are compared using Akaike Information Criterion (AIC) and Root Mean Square Error (RMSE) respectively. Such findings are important since exchange rate forecasts can help to evaluate the foreign denominated cash flows involved in international transactions.

Abstract. As the interaction between international and domestic financial markets increases, the interaction between gold market and financial markets also increases. Today, the financial attributes of gold play a more evidence role in dominating the gold price. Taking into account time-varying and dynamic properties of volatility spillover effect in the financial markets, this paper investigates the time-varying volatility relationship between gold markets and U.S. dollar by using the bivariate-BEKK. This paper also investigate whether gold volatility is significantly affected by its own prefluctuations, its aggregation and lasting properties, and the bi-directional volatility spillover between the gold market and U.S. dollar.