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Modelling and Forecasting Volatility of Gold Price with Other Precious Metals Prices by Univariate GARCH Models
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Statistics.
2012 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

This paper aims to model and forecast the volatility of gold price with the help of other precious metals. The data applied for application part in the article involves three financial time series which are gold, silver and platinum daily spot prices. The volatility is modeled by univariate Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models including GARCH and EGARCH with different distributions such as normal distribution and student-t distribution. At the same time, comparisons of estimation and forecasting the volatility between GARCH family models have been done.

Place, publisher, year, edition, pages
2012. , 24 p.
Keyword [en]
gold price, volatility, precious metal, GARCH, EGARCH
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:uu:diva-187914OAI: oai:DiVA.org:uu-187914DiVA: diva2:576025
Subject / course
Statistics
Educational program
Master Programme in Statistics
Presentation
2012-06-01, 13:30 (English)
Uppsok
Social and Behavioural Science, Law
Supervisors
Examiners
Available from: 2012-12-13 Created: 2012-12-12 Last updated: 2012-12-13Bibliographically approved

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Du Yuchen MasterThesis(387 kB)2272 downloads
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Type fulltextMimetype application/pdf

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CiteExportLink to record
Permanent link

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Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf