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Improving MF-DFA model with applications in precious metals market

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  • Zhongjun Wang
  • Mengye Sun
  • A. M. Elsawah

Abstract

With the aggravation of the global economic crisis and inflation, the precious metals with safe-haven function have become more popular. An improved MF-DFA method is proposed to analyze price fluctuations of the precious metals market. Based on the widely used multifractal detrended fluctuation analysis method (MF-DFA), we compare these two methods and find that the Bi-OSW-MF-DFA method possesses better efficiency. This article analyzes the degree of multifractality between spot gold market and spot silver market as well as their risks. From the numerical results and figures, it is found that two elements constitute the contributions in the formation of multifractality in time series and the risk of the spot silver market is higher than that of the spot gold market. This attempt could lead to a better understanding of complicated precious metals market.

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  • Zhongjun Wang & Mengye Sun & A. M. Elsawah, 2020. "Improving MF-DFA model with applications in precious metals market," Papers 2006.15214, arXiv.org.
    • Handle: RePEc:arx:papers:2006.15214
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    1. Ghazani, Majid Mirzaee & Khosravi, Reza & Caporin, Massimiliano, 2023. "Analyzing interconnection among selected commodities in the 2008 global financial crisis and the COVID-19 pandemic," Resources Policy, Elsevier, vol. 80(C).

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