{"id":"https://openalex.org/W7204478197","doi":"https://doi.org/10.4038/ijabf.v12i1.197","title":"Exchange Rate Volatility Spillovers to Gold Prices In Sri Lanka: Evidence from a Hybrid Econometric\u2013Machine Learning Framework","display_name":"Exchange Rate Volatility Spillovers to Gold Prices In Sri Lanka: Evidence from a Hybrid Econometric\u2013Machine Learning Framework","publication_year":2026,"publication_date":"2026-11-11","ids":{"openalex":"https://openalex.org/W7204478197","doi":"https://doi.org/10.4038/ijabf.v12i1.197"},"language":"en","primary_location":{"id":"doi:10.4038/ijabf.v12i1.197","doi":"https://doi.org/10.4038/ijabf.v12i1.197","is_oa":true,"landing_page_url":"https://doi.org/10.4038/ijabf.v12i1.197","pdf_url":"https://ijabf.sljol.info/articles/197/files/6af3f4172396a.pdf","source":{"id":"https://openalex.org/S4210210744","display_name":"International Journal of Accounting and Business Finance","issn_l":"2448-9867","issn":["2448-9867","2448-9875"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":["abdc-c"],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Accounting and Business Finance","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"diamond","oa_url":"https://ijabf.sljol.info/articles/197/files/6af3f4172396a.pdf","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5134054420","display_name":"Tharshiga Pratheesh","orcid":"https://orcid.org/0000-0001-6738-3358","observed_orcids":["https://orcid.org/0000-0001-6738-3358"]},"institutions":[{"id":"https://openalex.org/I198412587","display_name":"University of Jaffna","ror":"https://ror.org/02fwjgw17","country_code":"LK","type":"education","lineage":["https://openalex.org/I198412587"]}],"countries":["LK"],"is_corresponding":false,"raw_author_name":"Tharshiga Pratheesh","raw_affiliation_strings":["University of Jaffna - Department of Financial Management"],"raw_orcid":"https://orcid.org/0000-0001-6738-3358","affiliations":[{"raw_affiliation_string":"University of Jaffna - Department of Financial Management","institution_ids":["https://openalex.org/I198412587"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5134048534","display_name":"Ratheranee Yogendrarajah","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I198412587","display_name":"University of Jaffna","ror":"https://ror.org/02fwjgw17","country_code":"LK","type":"education","lineage":["https://openalex.org/I198412587"]}],"countries":["LK"],"is_corresponding":false,"raw_author_name":"Ratheranee Yogendrarajah","raw_affiliation_strings":["University of Jaffna"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"University of Jaffna","institution_ids":["https://openalex.org/I198412587"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I198412587"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":true,"cited_by_count":0,"citation_normalized_percentile":{"value":0.0,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"12","issue":"1","first_page":"215","last_page":"236"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9560999870300293,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9560999870300293,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.04349999874830246,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.00019999999494757503,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/exchange-rate-volatility","display_name":"exchange rate volatility","score":0.9390000104904175},{"id":"https://openalex.org/keywords/gold-prices","display_name":"gold prices","score":0.9810000061988831},{"id":"https://openalex.org/keywords/volatility-spillovers","display_name":"volatility spillovers","score":0.9769999980926514},{"id":"https://openalex.org/keywords/sri-lanka","display_name":"Sri Lanka","score":0.6230000257492065},{"id":"https://openalex.org/keywords/volatility-persistence","display_name":"volatility persistence","score":0.9240000247955322},{"id":"https://openalex.org/keywords/volatility-forecasting","display_name":"volatility forecasting","score":0.5690000057220459},{"id":"https://openalex.org/keywords/emerging-markets","display_name":"emerging markets","score":0.6060000061988831},{"id":"https://openalex.org/keywords/risk-transmission","display_name":"risk transmission","score":0.5230000019073486}],"concepts":[{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.7526999711990356},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.741100013256073},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6678000092506409},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.5663999915122986},{"id":"https://openalex.org/C2776988154","wikidata":"https://www.wikidata.org/wiki/Q66100","display_name":"Exchange rate","level":2,"score":0.5583999752998352},{"id":"https://openalex.org/C117996083","wikidata":"https://www.wikidata.org/wiki/Q5473296","display_name":"Forward volatility","level":4,"score":0.4869999885559082},{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.4814000129699707},{"id":"https://openalex.org/C44731940","wikidata":"https://www.wikidata.org/wiki/Q7940001","display_name":"Volatility risk premium","level":4,"score":0.4729999899864197},{"id":"https://openalex.org/C13290067","wikidata":"https://www.wikidata.org/wiki/Q915788","display_name":"Volatility smile","level":3,"score":0.44510000944137573},{"id":"https://openalex.org/C192620184","wikidata":"https://www.wikidata.org/wiki/Q7940002","display_name":"Volatility swap","level":4,"score":0.4431000053882599},{"id":"https://openalex.org/C197640229","wikidata":"https://www.wikidata.org/wiki/Q2534066","display_name":"Predictability","level":2,"score":0.4262000024318695},{"id":"https://openalex.org/C129824826","wikidata":"https://www.wikidata.org/wiki/Q2630107","display_name":"Granger causality","level":2,"score":0.4244000017642975},{"id":"https://openalex.org/C55527203","wikidata":"https://www.wikidata.org/wiki/Q334194","display_name":"Spillover effect","level":2,"score":0.38280001282691956},{"id":"https://openalex.org/C185429906","wikidata":"https://www.wikidata.org/wiki/Q1130160","display_name":"Estimator","level":2,"score":0.36579999327659607},{"id":"https://openalex.org/C11039479","wikidata":"https://www.wikidata.org/wiki/Q791975","display_name":"Gold as an investment","level":2,"score":0.3555999994277954},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.34619998931884766},{"id":"https://openalex.org/C101104100","wikidata":"https://www.wikidata.org/wiki/Q1063540","display_name":"Heteroscedasticity","level":2,"score":0.33489999175071716},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.33230000734329224},{"id":"https://openalex.org/C83546350","wikidata":"https://www.wikidata.org/wiki/Q1139051","display_name":"Regression","level":2,"score":0.3077000081539154},{"id":"https://openalex.org/C163175372","wikidata":"https://www.wikidata.org/wiki/Q3339222","display_name":"Linear model","level":2,"score":0.2741999924182892},{"id":"https://openalex.org/C121087249","wikidata":"https://www.wikidata.org/wiki/Q546395","display_name":"Emerging markets","level":2,"score":0.27399998903274536},{"id":"https://openalex.org/C2778908629","wikidata":"https://www.wikidata.org/wiki/Q4391528","display_name":"Effective exchange rate","level":3,"score":0.26330000162124634},{"id":"https://openalex.org/C60092789","wikidata":"https://www.wikidata.org/wiki/Q7301291","display_name":"Realized variance","level":3,"score":0.2614000141620636},{"id":"https://openalex.org/C151406439","wikidata":"https://www.wikidata.org/wiki/Q186588","display_name":"Time series","level":2,"score":0.2574000060558319},{"id":"https://openalex.org/C166052673","wikidata":"https://www.wikidata.org/wiki/Q83021","display_name":"Empirical evidence","level":2,"score":0.2524999976158142}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.4038/ijabf.v12i1.197","doi":"https://doi.org/10.4038/ijabf.v12i1.197","is_oa":true,"landing_page_url":"https://doi.org/10.4038/ijabf.v12i1.197","pdf_url":"https://ijabf.sljol.info/articles/197/files/6af3f4172396a.pdf","source":{"id":"https://openalex.org/S4210210744","display_name":"International Journal of Accounting and Business Finance","issn_l":"2448-9867","issn":["2448-9867","2448-9875"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":["abdc-c"],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Accounting and Business Finance","raw_type":"journal-article"},{"id":"doi:10.2139/ssrn.7352422","doi":"https://doi.org/10.2139/ssrn.7352422","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.7352422","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"}],"best_oa_location":{"id":"doi:10.4038/ijabf.v12i1.197","doi":"https://doi.org/10.4038/ijabf.v12i1.197","is_oa":true,"landing_page_url":"https://doi.org/10.4038/ijabf.v12i1.197","pdf_url":"https://ijabf.sljol.info/articles/197/files/6af3f4172396a.pdf","source":{"id":"https://openalex.org/S4210210744","display_name":"International Journal of Accounting and Business Finance","issn_l":"2448-9867","issn":["2448-9867","2448-9875"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":["abdc-c"],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Accounting and Business Finance","raw_type":"journal-article"},"sustainable_development_goals":[{"display_name":"Decent work and economic growth","id":"https://metadata.un.org/sdg/8","score":0.48510000109672546}],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W7204478197.pdf","grobid_xml":"https://content.openalex.org/works/W7204478197.grobid-xml"},"referenced_works_count":24,"referenced_works":["https://openalex.org/W2021144079","https://openalex.org/W2030990054","https://openalex.org/W2050099408","https://openalex.org/W2113660011","https://openalex.org/W2508746375","https://openalex.org/W2605417067","https://openalex.org/W2791618023","https://openalex.org/W2908389075","https://openalex.org/W3019898566","https://openalex.org/W3124458937","https://openalex.org/W3131029222","https://openalex.org/W3204684673","https://openalex.org/W3211440787","https://openalex.org/W4282984039","https://openalex.org/W4317745686","https://openalex.org/W4386157666","https://openalex.org/W4389096457","https://openalex.org/W4389635881","https://openalex.org/W4390816926","https://openalex.org/W4391192551","https://openalex.org/W4392853441","https://openalex.org/W4392907402","https://openalex.org/W4409769418","https://openalex.org/W6885115031"],"related_works":["https://openalex.org/W2435620326","https://openalex.org/W2923728457","https://openalex.org/W7162936815","https://openalex.org/W7203632802","https://openalex.org/W4282984039","https://openalex.org/W3034702326","https://openalex.org/W4406680783","https://openalex.org/W4320925018","https://openalex.org/W3046089125","https://openalex.org/W4404872925"],"abstract_inverted_index":{"This":[0,191],"study":[1,192,212],"examines":[2],"spillovers":[3],"of":[4,36,40,53,64,133,163,167,196,204],"means":[5],"and":[6,12,21,43,72,86,104,121,172,202,220],"volatilities":[7],"between":[8,100,198],"the":[9,13,48,55,101,105,109,114,140,176,181,194],"exchange":[10,45,80],"rates":[11,81],"gold":[14,42,84,143,168,171],"price":[15,39],"in":[16,119,139,165,180,207,224],"Sri":[17,141],"Lanka.":[18],"Both":[19],"linear":[20],"nonlinear":[22],"spillover":[23,200],"channels":[24],"are":[25],"explored":[26],"under":[27],"a":[28,97,157],"hybrid":[29],"econometric-machine":[30],"learning":[31,222],"framework.":[32],"The":[33,93,183,211],"data":[34],"consists":[35],"daily":[37],"spot":[38],"local":[41],"USD/LKR":[44],"rate":[46],"over":[47],"period":[49],"2018-2025.":[50],"In":[51],"terms":[52],"methodology,":[54],"empirical":[56],"strategy":[57],"includes":[58],"Granger":[59],"causality":[60],"test,":[61],"HAC":[62],"regression":[63,95],"volatility,":[65],"various":[66],"GARCH":[67,110],"models,":[68],"Random":[69,153],"Forest":[70,154],"estimator,":[71],"time":[73],"series":[74],"cross-validation.":[75,190],"It":[76],"was":[77,186],"found":[78],"that":[79,113],"strongly":[82],"influence":[83],"prices":[85],"provide":[87],"predictive":[88],"signals":[89],"for":[90,127],"future":[91],"movements.":[92],"volatility":[94,103,128,135,166,174],"revealed":[96],"positive":[98],"relationship":[99,115],"exchange-rate":[102,173],"gold-market":[106],"volatility.":[107],"Nonetheless,":[108],"model":[111,185],"showed":[112],"is":[116,145],"not":[117],"significant":[118],"dynamic":[120],"conditional":[122],"settings,":[123],"even":[124],"after":[125],"controlling":[126],"persistence,":[129],"suggesting":[130],"little":[131],"evidence":[132,215],"structural":[134,199],"transmission.":[136],"Volatility":[137],"persistence":[138],"Lankan":[142],"market":[144],"quite":[146],"high":[147],"(\u03b1":[148],"+":[149],"\u03b2":[150],"=":[151],"0.947).":[152],"estimator":[155],"has":[156],"very":[158],"good":[159],"fit,":[160],"explaining":[161],"95.89%":[162],"variation":[164],"market.":[169],"Lagged":[170],"proved":[175],"most":[177],"informative":[178],"predictors":[179],"regression.":[182],"forecasting":[184],"validated":[187],"using":[188],"time-series":[189],"emphasises":[193],"importance":[195],"distinguishing":[197],"channel":[201],"predictability":[203],"financial":[205],"markets":[206],"risk":[208],"transmission":[209],"process.":[210],"provides":[213],"original":[214],"based":[216],"on":[217],"combining":[218],"econometric":[219],"machine":[221],"methods":[223],"an":[225],"emerging":[226],"economy.":[227]},"counts_by_year":[],"updated_date":"2026-11-12T12:28:57.059296","created_date":"2026-08-28T00:00:00"}