Modelling Volatility Of The Gold Prices By Using Generalized Autoregressive Conditional Heteroscedasticity Method: The Case Of Turkey
AbstractWhen the world economies are taken into consideration, gold market maintains its function as a traditional investment place. The volatility in the gold prices can be seen as an indicator of non-stability for the market as a whole. Under such circumstances, the investors rearrange their savings proportion. This situation affects the economy on a great scale, resulting the employment of alternative investment instruments depending on the supply demand equilibrium. In this study, the volatility of gold prices is empirically investigated. Initially the natural logarithm of the gold market index has been taken in hand to be adjusted, in order to avoid from instabilities due to potential fluctuations. Following this, as monthly data has been employed, seasonal effects need to be inspected searching to find out whether unit root exists. After verifying the hypothesis of stationary, modeling has been taken place using the best ARIMA method by the help of some diagnostical tests. Following this, volatility is being tested by ARCH LM test. After choosing the most proper model of volatility, with the help of ARCH-M method, whether the volatility is being included in the model forecasted, has been examined. According to the results of the study, the series of gold prices was volatile and the volatility was eliminated, modeling it GARCH (2,1) model. Thus, a state enabling to measure the risk more seriously is provided.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Spiru Haret University, Faculty of Accounting and Financial Management Constanta in its journal Journal of Academic Research in Economics.
Volume (Year): 2 (2010)
Issue (Month): 2 (November) ()
Contact details of provider:
Web page: http://www2.spiruharet.ro/facultati/facultate.php?id=9
More information through EDIRC
Modelling; Volatility; Gold Price; ARIMA; ARCH LM; Turkey;
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Claudiu Chiru).
If references are entirely missing, you can add them using this form.