Forecasting regular and extreme gold price volatility: The roles of asymmetry, extreme event and jump

2021 ◽  
Author(s):  
Xiafei Li ◽  
Dongxin Li ◽  
Xuhui Zhang ◽  
Guiwu Wei ◽  
Lan Bai ◽  
...  
Keyword(s):  
Extreme Event ◽  
Price Volatility ◽  
Gold Price

Oil and Gold Price Volatility

2011 ◽  
Author(s):  
Jan Walters Kruger ◽  
Angelo Joseph ◽  
Abraham Aphane
Keyword(s):  
Price Volatility ◽  
Gold Price

scholarly journals Assessing recent pattern of gold price volatility in Malaysia (2005-2018)

2020 ◽  
Vol 12 (1) ◽  
pp. 15
Author(s):  
Nur Laila Mohd. Arif ◽  
Hishamuddin Abdul Wahab
Keyword(s):  
Price Volatility ◽  
Gold Price

scholarly journals Is this time really different? Flight-to-safety and the COVID-19 crisis

PLoS ONE ◽  
2021 ◽  
Vol 16 (5) ◽  
pp. e0251752
Author(s):  
Celina Löwen ◽  
Bilal Kchouri ◽  
Thorsten Lehnert
Keyword(s):  
Financial Crises ◽  
Price Volatility ◽  
Equity Market ◽  
Gold Price ◽  
Sharp Drop ◽  
Market Participants ◽  
Oil Market ◽  
Causality Tests ◽  
Safety Effect ◽  
The One

During periods of market stress, risk-averse investors reallocate their investments from stocks to gold in a bid to hedge risks. Market participants interpret the induced gold price increase as an indication of safe-haven purchases and a signal of increased uncertainty in the general economic and financial conditions, thereby causing higher gold price volatility. The aim of this paper is to analyze whether this flight to safety effect can be observed during the COVID-19 crisis, which is considered to be a one-of-a-kind crisis and obviously of different origin compared to previous (financial) crises. By examining the interactions between the (option-implied) volatilities of the stock market (VIX) and of the gold (GVZ) and oil (OVX) markets, the main findings indicate that there is a granger causality in general between the equity market and the gold as well as the oil market. During the COVID-19 crisis, a stronger influence of the equity market on the oil market can be observed. Based on symmetric causality tests that are typically employed in the literature, this cannot be observed for the gold market. However, once we control for asymmetric causal interactions, we find that positive shocks in VIX cause positive shocks in GVZ. Hence, the typical flight to safety effect, similar to the one observed during other (financial) crises can also be identified for the COVID-19 crisis. The causality between the equity and oil market is triggered by political factors as well as the economic impact of the crisis which induces a sharp drop in demand for oil.

scholarly journals Modeling and Forecasting Gold Prices

2020 ◽  
Author(s):  
Richmond Sam-Quarm ◽  
Mohamed Osman Elamin Busharads
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Price Volatility ◽  
Gold Price ◽  
Oil Price ◽  
Future Market ◽  
Open Interest ◽  
Long Run ◽  
Short Run ◽  
Japanese Yen

The aim of this paper is to explore the reasons of gold price volatility. It analyses the information function of the gold future market by open interest contracts as speculation effect, and further fundamental factors including inflation, Chinese yuan per dollar, Japanese yen per dollar, dollar per euro, interest rate, oil price, and stock price, in the short-run. The study proceeds to build a Dynamic OLS model for long-run equilibrium to produce reliable gold price forecasts using the following variables: gold demand, gold supply, inflation, USD/SDR exchange rate, speculation, interest rate, oil price, and stock prices. Findings prove that in the short-run, changes in gold price does granger cause changes in open interest, and changes in Japanese yen per dollar does granger cause changes in gold price. However, in the long-run, the results prove that gold demand, gold supply, USD/SDR exchange rate, inflation, speculation, interest rate, and oil price are associated in a long-run relationship.References

Macroeconomic Determinants of Volatility for the Gold Price in Ethiopia: The Application of GARCH and EWMA Volatility Models

2017 ◽  
Vol 18 (2) ◽  
pp. 308-326 ◽  
Author(s):  
Amare Wubishet Ayele ◽  
Emmanuel Gabreyohannes ◽  
Yohannes Yebabe Tesfay
Keyword(s):  
Interest Rates ◽  
Risk Premium ◽  
Asset Management ◽  
Mean Squared Error ◽  
Price Volatility ◽  
Absolute Error ◽  
Gold Price ◽  
Garch Models ◽  
Simple Fact ◽  
T Distribution

Modelling and forecasting of commodity price volatility has important applications for asset management, portfolio analysis and risk assessment due to the simple fact that volatility has informational content and contains signals of the market information flow. This article models and forecasts the gold price volatility using the exponentially weighted moving average (EWMA) and the generalized autoregressive conditional heteroscedasticity (GARCH) models for the period from 1998 to 2014. The gold series shows the classical characteristics of financial time series, such as leptokurtic distributions, data dependence and strong serial correlation in squared returns. Hence, the series can be modelled using both EWMA and GARCH-type models. Among the GARCH-type models, GARCH-M(2,2) with Student’s t distribution for the residuals was found to be the best-fit model. Moreover, the manuscript finds that interest rates, exchange rates and crude oil prices have a significant impact on gold volatility. The risk premium effect is found to be positive and statistically significant, suggesting increased volatility is followed by a higher mean. Finally, a comparison is made between the GARCH and the EWMA models. Using the relative mean squared error and mean absolute error measures, the empirical result suggests that GARCH models with explanatory variables are superior for volatility forecasting.

scholarly journals Gold price volatility, tax revenue, and employment: can Burkina Faso's adaptation strategy avoid the natural resource curse?

2018 ◽  
Vol 23 (5) ◽  
pp. 543-557
Author(s):  
Delphine Carole Sisso ◽  
Olivier Beaumais
Keyword(s):  
Burkina Faso ◽  
Natural Resource ◽  
Computable General Equilibrium ◽  
Resource Curse ◽  
Price Volatility ◽  
Economic Benefits ◽  
Gold Price ◽  
Mining Sector ◽  
Natural Resource Curse ◽  
The Government

AbstractSince 2007, Burkina Faso's mining sector has grown quickly, with gold replacing cotton as the country's biggest export. The decline in gold prices since 2012, however, has hit the Burkina Faso economy hard. Using a static computable general equilibrium model, we assess whether – in a context of gold-price decline and volatility – an increase in the tax burden on the mining sector, as implemented by the government of Burkina Faso, is the appropriate way to avoid the natural resource curse. The results show that a tax policy based solely on increasing taxes on the gold sector brings only limited economic benefits, notably in terms of employment, and fails to significantly mitigate the effects of gold-price volatility.

Multi-Scale Volatility Feature Analysis and Prediction of Gold Price

2017 ◽  
Vol 16 (01) ◽  
pp. 205-223 ◽  
Author(s):  
Fenghua Wen ◽  
Xin Yang ◽  
Xu Gong ◽  
Kin Keung Lai
Keyword(s):  
Structural Breaks ◽  
Price Volatility ◽  
Ensemble Empirical Mode Decomposition ◽  
Gold Price ◽  
Support Vector ◽  
Multi Scale ◽  
Mode Decomposition ◽  
One Step ◽  
External Events ◽  
Artificial Neural Network Ann

Volatility of gold price is of great significance for avoiding the risk of gold investment. It is necessary to understand the effect of external events and intrinsic regularities to make accurate price predictions. This paper first compared EMD with CEEMD algorithm, and the results find that CEEMD algorithm performance is better than that of EMD in analysis gold price volatility. Then this paper uses the complementary ensemble empirical mode decomposition (CEEMD) to decompose the historical price of international gold into price components at different frequencies, and extracts a short-term fluctuation, a shock from significant events and a long-term price. In addition, this paper combines the Iterative cumulative sum of squares (ICSS) with Chow test to test the three event prices for structural breaks, and analyzes the effect of external events on volatility of gold price by comparing the external events with the test results for structural breaks. Finally, this paper constructs support vector machine (SVM) models and artificial neural network (ANN) on three series for prediction, and finds that the SVM performed better in gold price prediction in one-step-ahead and five-step-ahead, and when we combine the SVMs and ANNs with price components to make predictions, the error of the combined prediction is smaller than SVMs and ANNs with separate terms of series extracted.

scholarly journals OIL AND GOLD PRICE VOLATILITY ON INDONESIAN STOCK MARKET IN THE PERIOD OF COVID-19 PANDEMIC

2021 ◽  
Vol 23 (2) ◽  
pp. 129-137
Author(s):  
Maria Magdalena Marwanti ◽  
Robiyanto Robiyanto
Keyword(s):  
Financial Markets ◽  
Stock Returns ◽  
Capital Market ◽  
Price Volatility ◽  
Secondary Data ◽  
Developed Countries ◽  
Gold Price ◽  
Future Research ◽  
Analysis Technique ◽  
The Impact

The study aimed to analyze the effects of oil and gold price volatility on stock returns in Indonesia by comparing the period before and during the Covid-19 pandemic. The study took secondary data from the daily closing prices of oil (Brent and WTI), gold, and JCI. The analysis technique used was GARCH (1,1). The study found that oil and gold price volatility did not affect stock returns in the two periods. The impact of the Covid-19 pandemic on financial markets had yielded uncertain results. This finding supported the concept of gold as a safe haven during the financial crisis. The limitations in the study were focusing on the Indonesian capital market, and future research can compare the impact of the Covid-19 pandemic on developing countries with developed countries.

scholarly journals Modelling the Time-Varying Gold Price Volatility in Malaysia (2005 – 2018)

2018 ◽  
Vol 2 (2) ◽  
pp. 34-38
Author(s):  
Hishamuddin Abdul Wahab ◽  
Nur Laila Mohd. Arif
Keyword(s):  
Open Economy ◽  
Global Financial Crisis ◽  
Small Open Economy ◽  
Price Volatility ◽  
Recent Time ◽  
Gold Price ◽  
Positive Sign ◽  
Time Varying ◽  
Daily Data ◽  
Highly Sensitive

This study provides new insights into the recent time-varying pattern of gold volatility surrounding the Subprime Global Financial Crisis (GFC) 2008 with special emphasis given to small open economy of Malaysia. Using daily data of gold bullion Kijang Emas issued by the Bank Negara Malaysia from August 2005 till July 2018, the study modelled the gold volatility using different models of ARCH-GARCH family. Under the context of emerging economy, the study found significant enhanced gold volatility during the middle of GFC, signifying that gold price is highly sensitive to specific economic disturbance. Next, our result displayed inverted asymmetry effect where investors interpret gold as a safe-haven investment during good gold returns, hence contributed to enhanced gold volatility. Finally, bilateral exchange rate (MYR/USD) affected volatility with positive sign, indicating that gold investment could be adversely affected during the depreciation of the Malaysian Ringgit.    

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