This paper analyzes the correlation among volatility regimes, safe havens, asymmetric effects, contagions, and flights in the gold market for five considered countries during 2002–2018. Based on a two-state, quantile-based Markov-switching GJR-GARCH model, the safe-haven ability of gold against stocks and inverted asymmetric volatility is revealed to be associated with a high-volatility regime. Moreover, contagion (flight) generally occurs if, during a crisis period, the gold market is in the low (high) volatility regime. The results of this study highlight the importance of considering gold market volatility regimes in a study of the relative topics on financial asset allocation.

本文分析了2002-2018年间五个被考虑国家的波动率制度，安全港，不对称效应，传染性和黄金市场飞行之间的相关性。基于两态，基于分位数的马尔可夫切换GJR-GARCH模型，揭示了黄金对股票和反向不对称波动的避险能力与高波动率制度有关。此外，如果在危机期间黄金市场处于低（高）波动率制度，通常会发生传染（逃避）。这项研究的结果突显了在研究有关金融资产配置的相关主题时，考虑黄金市场波动性制度的重要性。