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Long Range Dependence And Structural Breaks In The Gold Markets

Author

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  • TERENCE TAI LEUNG CHONG

    (Department of Economics and Lau Chor Tak Institute of Global Economics and Finance, The Chinese University of Hong Kong, The People’s Republic of China2Department of International Economics and Trade, Nanjing University, P. R. China)

  • CHENXI LU

    (Department of Economics, The Chinese University of Hong Kong, Shatin, NT, Hong Kong, SAR, The People’s Republic of China)

  • WING HONG CHAN

    (Lazaridis School of Business and Economics, Wilfrid Laurier University, Canada)

Abstract

The price of gold and its determining factors have been studied extensively in the literature. However, there is a lack of research on structural break in the long memory of the gold markets. This paper examines the long memory properties of gold prices. In particular, it attempts to test the stability of the long range dependence of gold returns and volatility. The results suggest that long memory exists in gold returns and volatility, and that the volatility of daily gold futures returns can be characterized by a hyperbolic decaying long memory process. Three episodes of structural breaks are found.

Suggested Citation

  • Terence Tai Leung Chong & Chenxi Lu & Wing Hong Chan, 2020. "Long Range Dependence And Structural Breaks In The Gold Markets," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 65(02), pages 257-273, March.
    • Handle: RePEc:wsi:serxxx:v:65:y:2020:i:02:n:s0217590817500096
    DOI: 10.1142/S0217590817500096
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    More about this item

    Keywords

    Long memory; modified R/S statistic; FIGARCH; spot gold; gold futures;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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