An analysis of Gold Market Volatility
(2010) NEKM03 20101Department of Economics
- Abstract (Swedish)
- This essay had tested for the significant influence of USD index and Euro index on Gold market traded in Dollar and Euro. The results show that the mean return of Gold in both markets is affected by the USD index as well as Euro index. However the variance in each market is only significantly affected by the currency that the market is being traded. Applying APGARCH shows that Gold market variance is affected by the return of 5, 6, 7 and 9 days ago. However this model doesn’t seem to have better ability for forecasting the volatility than GARCH (1, 1).
During the financial crisis; the only significant variable in the market is USD index (Euro index is only significant in the variance of Gold market traded in USD). The autocorrelation of... (More) - This essay had tested for the significant influence of USD index and Euro index on Gold market traded in Dollar and Euro. The results show that the mean return of Gold in both markets is affected by the USD index as well as Euro index. However the variance in each market is only significantly affected by the currency that the market is being traded. Applying APGARCH shows that Gold market variance is affected by the return of 5, 6, 7 and 9 days ago. However this model doesn’t seem to have better ability for forecasting the volatility than GARCH (1, 1).
During the financial crisis; the only significant variable in the market is USD index (Euro index is only significant in the variance of Gold market traded in USD). The autocorrelation of lags 6 and 9 affect the variance of Gold market traded in USD in this period. These lags for Gold market traded in Euro are 5 and 6. The results of forecasted volatility by GARCH (1, 1) and APGARCH on both markets is not statistically reliable and it implies that our model cannot forecast the volatility during the financial crisis. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/1613285
- author
- Lari, Hadi LU and Leinar, Martin LU
- supervisor
- organization
- course
- NEKM03 20101
- year
- 2010
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- Volatility, APGARCH, Gold, Euro, Dollar
- language
- English
- id
- 1613285
- date added to LUP
- 2010-06-15 08:25:51
- date last changed
- 2010-06-15 08:25:51
@misc{1613285, abstract = {{This essay had tested for the significant influence of USD index and Euro index on Gold market traded in Dollar and Euro. The results show that the mean return of Gold in both markets is affected by the USD index as well as Euro index. However the variance in each market is only significantly affected by the currency that the market is being traded. Applying APGARCH shows that Gold market variance is affected by the return of 5, 6, 7 and 9 days ago. However this model doesn’t seem to have better ability for forecasting the volatility than GARCH (1, 1). During the financial crisis; the only significant variable in the market is USD index (Euro index is only significant in the variance of Gold market traded in USD). The autocorrelation of lags 6 and 9 affect the variance of Gold market traded in USD in this period. These lags for Gold market traded in Euro are 5 and 6. The results of forecasted volatility by GARCH (1, 1) and APGARCH on both markets is not statistically reliable and it implies that our model cannot forecast the volatility during the financial crisis.}}, author = {{Lari, Hadi and Leinar, Martin}}, language = {{eng}}, note = {{Student Paper}}, title = {{An analysis of Gold Market Volatility}}, year = {{2010}}, }