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Forecasting volatility in gold returns under the GARCH, IGARCH and FIGARCH frameworks: New evidence

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  • Bentes, Sonia R.

Abstract

This study employs three volatility models of the GARCH family to examine the volatility behavior of gold returns. Much of the literature on this topic suggests that gold plays a fundamental role as a hedge and safe haven against adverse market conditions, which is particularly relevant in periods of high volatility. This makes understanding gold volatility important for a number of theoretical and empirical applications, namely investment valuation, portfolio selection, risk management, monetary policy-making, futures and option pricing, hedging strategies and value-at-risk (VaR) policies (e.g. Baur and Lucey (2010)).

Suggested Citation

  • Bentes, Sonia R., 2015. "Forecasting volatility in gold returns under the GARCH, IGARCH and FIGARCH frameworks: New evidence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 438(C), pages 355-364.
    • Handle: RePEc:eee:phsmap:v:438:y:2015:i:c:p:355-364
    DOI: 10.1016/j.physa.2015.07.011
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