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Modelização VAR da volatilidade dos preços do ouro e dos índices dos mercados financeiros
[Modelling the volatility of gold prices and financial stock indexes: a VAR approach]

Author

Listed:
  • Antunes, João Marques
  • Fuinhas, José Alberto
  • Marques, António Cardoso

Abstract

The interaction of volatility between the financial markets and gold market is analyzed. The volatility of the price of gold in euros, the price of gold in dollars, the U.S. industrial production índex, the S&p500 index, the VIX índex and the PSI20 index for a time horizon between January 1993 to September 2013 using the model Generalized Autoregressive Conditional Heteroscedasticity. The transmission of volatilities is performed using the Vector Autoregressive model. All variables proved to be endogenous with exception of gold, wich was modeled as an exogenous. Granger causality was detected on variables IPI→S&P500; S&P500→VIX; VIX→PSI20. The analysis of the variance decomposition indicates the prevalence of the explanation of the variables itself. Through these models we proved there is a relationship between the volatility of gold prices and financial markets.

Suggested Citation

  • Antunes, João Marques & Fuinhas, José Alberto & Marques, António Cardoso, 2014. "Modelização VAR da volatilidade dos preços do ouro e dos índices dos mercados financeiros [Modelling the volatility of gold prices and financial stock indexes: a VAR approach]," MPRA Paper 57017, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:57017
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    References listed on IDEAS

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    More about this item

    Keywords

    Volatility; PSI-20; S&P500; VIX; VAR; GARCH.;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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