Forecasting volatility in gold returns under the GARCH, IGARCH and FIGARCH frameworks: New evidence

Sonia R. Bentes

Physica A: Statistical Mechanics and its Applications, 2015, vol. 438, issue C, 355-364

Abstract: This study employs three volatility models of the GARCH family to examine the volatility behavior of gold returns. Much of the literature on this topic suggests that gold plays a fundamental role as a hedge and safe haven against adverse market conditions, which is particularly relevant in periods of high volatility. This makes understanding gold volatility important for a number of theoretical and empirical applications, namely investment valuation, portfolio selection, risk management, monetary policy-making, futures and option pricing, hedging strategies and value-at-risk (VaR) policies (e.g. Baur and Lucey (2010)).

Keywords: Gold returns; Long-memory; Shock persistence; Volatility forecasts; Conditional variance; FIGARCH (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (34)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:438:y:2015:i:c:p:355-364

DOI: 10.1016/j.physa.2015.07.011

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