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An analysis of Gold Market Volatility

Lari, Hadi LU and Leinar, Martin LU (2010) NEKM03 20101
Department 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)
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author
Lari, Hadi LU and Leinar, Martin LU
supervisor
organization
course
NEKM03 20101
year
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},
  keyword      = {Volatility,APGARCH,Gold,Euro,Dollar},
  language     = {eng},
  note         = {Student Paper},
  title        = {An analysis of Gold Market Volatility},
  year         = {2010},
}