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The Role of Global Economic Conditions in Forecasting Gold Market Volatility: Evidence from a GARCH-MIDAS Approach

Author

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  • Afees A. Salisu

    (Department for Management of Science and Technology Development, Ton Duc Thang University, Ho Chi Minh City, Vietnam; Faculty of Business Administration, Ton Duc Thang University, Ho Chi Minh City, Vietnam)

  • Rangan Gupta

    (Department of Economics, University of Pretoria, Pretoria, 0002, South Africa)

  • Elie Bouri

    (USEK Business School, Holy Spirit University of Kaslik, Jounieh, Lebanon)

  • Qiang Ji

    (Institutes of Science and Development, Chinese Academy of Sciences, Beijing 100190, China; School of Public Policy and Management, University of Chinese Academy of Sciences, Beijing 100049, China)

Abstract

In this study, we examine the role of global economic conditions in forecasting gold market volatility using alternative measures. Based on the available data frequency for the relevant series, we adopt the GARCH-MIDAS approach which allows for mixed data frequencies. We find that global economic conditions contribute significantly to gold market volatility albeit with mixed outcomes. While the results lend support to the safe-haven properties of the gold market, the outcome is influenced by the choice of measure of global economic conditions. For completeness, we extend the analyses to other precious metals such as silver, platinum, palladium, and rhodium and find that global economic conditions forecast the volatility of gold returns better than other precious metals. Our results are robust to multiple forecast horizons and offer useful insights into plausible investment choices in the precious metals market.

Suggested Citation

  • Afees A. Salisu & Rangan Gupta & Elie Bouri & Qiang Ji, 2020. "The Role of Global Economic Conditions in Forecasting Gold Market Volatility: Evidence from a GARCH-MIDAS Approach," Working Papers 202043, University of Pretoria, Department of Economics.
    • Handle: RePEc:pre:wpaper:202043
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    More about this item

    Keywords

    Precious Metals Volatility; Global Economic Conditions; Mixed-Frequency;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market

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