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1. Introduction
The valuable metals like platinum, silver and gold play a key role in selection and management of portfolios. Moreover, the features of these metals have gained much attention of people in different eras (Conover et al., 2009). In financial markets, the efficiency of future markets is still debatable and is a controversial issue that whether future prices are predictable or not. In other words contract prices comprise useful information about future spot prices (Cao, 2007). Similarly, efficient market hypothesis (EMH) argues that security prices fully reflect all possible and available information about the securities being traded in the market; thus, under weak form of EMH, no one is able to predict the prices and returns and, therefore, prices of assets follow martingale process and returns are characterized by martingale difference sequence (MDS). It is seen that the literature on precious metals is increasing and the studies provide a detailed examination of gold, silver and platinum predictability using different econometric methods (Batten et al., 2014). However, the earlier studies are confined to investigate the predictability of returns through EMH, whereas very limited studies (e.g. Ramirez et al., 2015) incorporate the notion of varying degree of predictability in commodity markets through adaptive market hypothesis (AMH). The time-varying predictability of return is much parallel to the notion and implications of AMH of Lo (2004). AMH is the modified version of EMH of Fama (1970). AMH implies various important implications such as the predictability of return may arise or disappear time to time due to institutional factors and varying degree of market conditions, e.g. bubbles, crashes, crises and cycles. Therefore, the current study investigates the varying degree of predictability of gold, silver and metal through AMH. The predictability of the precious metals is not only important for investors but also a hot debate for academicians (Smith and Thomson, 2001). There is extensive literature available on precious metals, e.g. Hillier et al. (2006) investigate the two different roles of precious metals, first “enlarging” which means diversification (i.e. hedging which is commonly used in these markets). Second, “risk management” which means the transfer of risk (Marshall et al., 2008). But these studies focus on characteristics and properties of metal’s return distribution which are the key...