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

<p><span>This paper investigates the regime-dependent hedging effectiveness of precious metals against stock market volatility across crisis and non-crisis periods. Using a comprehensive time-series framework, we examine dynamic volatility transmission and conditional spillover structures under varying market regimes. Empirical results indicate that hedging properties are not stable across states of market stress. In particular, while certain metals exhibit significant hedging potential during tranquil periods, their effectiveness weakens or becomes statistically insignificant during systemic crises.</span></p> <p>Our findings highlight the importance of regime-aware volatility modeling in portfolio construction and risk management. The results contribute to the literature on financial econometrics and dynamic hedging by demonstrating that asset diversification benefits are state-contingent rather than constant over time.</p> <p>This paper is accepted for presentation at&nbsp;The 3rd International Conference on Applied Economics, Management Science and Social Development (AEMSS), 2026.</p>