In this paper, we discuss the case of strong path dependency in asset prices from the theoretical and empirical standpoints. We demonstrate persistence of excess volatility in the gold spot price data that engenders excessive path dependence, whereas it is not the same with silver. We use the extreme value estimator (Rogers & Satchell, 1991) and the VRatio (Maheswaran, Balasubramanian, & Yoonus, 2011). The data for the study is for the period January 2001 – December 2016. We observe that the strong mean-reverting characteristic in gold makes it a better investment choice than silver, in general.

中文翻译：

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黄金和白银过度波动的研究

在本文中，我们从理论和实证的角度讨论了资产价格存在强路径依赖的情况。我们证明黄金现货价格数据的过度波动持续存在，导致过度的路径依赖，而白银则不同。我们使用极值估计器 (Rogers & Satchell, 1991) 和 VRatio (Maheswaran, Balasubramanian, & Yoonus, 2011)。该研究的数据是 2001 年 1 月至 2016 年 12 月期间的数据。我们观察到，黄金的强均值回归特性使其成为比白银更好的投资选择。