Forecasting of gold prices volatility with symmetric and asymmetric volatility models
Forecasting of gold prices volatility with symmetric and asymmetric volatility models
Author(s): Metin TETİKSubject(s): Business Economy / Management, Financial Markets
Published by: Acadlore Publishing Services Limited
Keywords: Gold price;Volatility forecasting; Forecast evaluation; Symmetric Volatility Models; Asymmetric Volatility Models;
Summary/Abstract: With this paper the author forecasts the out-of-sample volatility of gold price changes in Turkey. Looking at the both the symmetric and the asymmetric evaluation criteria, GJR-GARCH model isthe best fitted model for forecasting gold price volatility in Turkey. The GJR-GARCH model findings reveal a negative shock asymmetry for gold prices. Thus, it shows that positive news in the market affects the volatility of gold prices in the next period more than negative news.
Journal: The Journal of Corporate Governance, Insurance, and Risk Management (JCGIRM)
- Issue Year: 5/2018
- Issue No: 2
- Page Range: 1-14
- Page Count: 14
- Language: English
