The role of global economic conditions in forecasting gold market volatility: Evidence from a GARCH-MIDAS approach

Afees Salisu, Rangan Gupta, Elie Bouri () and Qiang Ji

Research in International Business and Finance, 2020, vol. 54, issue C

Abstract: In this study, we examine the role of global economic conditions in the predictability of gold market volatility using alternative measures. Based on the available data frequency for the relevant series, we adopt the GARCH-MIDAS approach which allows for mixed-data frequencies. We find that global economic conditions contribute significantly to gold market volatility, albeit with mixed outcomes. While the results also lend support to the safe-haven properties of the gold market, the outcome can be influenced by the choice of measure for global economic conditions. For completeness, we extend the analyses to other precious metals (palladium, platinum, rhodium and silver) and find that the global economic conditions forecast the return volatility of the gold market better than these other precious metals. Our results are robust to multiple forecast horizons and offer useful insights on the plausible investment choices in the precious metals market.

Keywords: Precious metals volatility; Global economic conditions; Mixed-frequency (search for similar items in EconPapers)
JEL-codes: C32 C53 E32 Q02 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (21)

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Working Paper: The Role of Global Economic Conditions in Forecasting Gold Market Volatility: Evidence from a GARCH-MIDAS Approach (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531920307273

DOI: 10.1016/j.ribaf.2020.101308

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