Obtaining Accurate Gold Prices

Amit K. Sinha ()
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Amit K. Sinha: Department of Economics and Finance, Bradley University, Peoria, IL 61625, USA

Commodities, 2024, vol. 3, issue 1, 1-12

Abstract: Gold prices have been of major interest for a lot of investors, analysts, and economists. Accordingly, a number of different modeling approaches have been used to forecast gold prices. In this manuscript, the geometric Brownian motion approach, used in the pricing of numerous types of assets, is used to forecast the prices of gold at yearly, monthly, and quarterly frequencies. This approach allows for simulating one-period-ahead prices and the associated probabilities. The expected prices obtained from the simulated prices and probabilities are found to provide reliable forecasts when compared with the observed yearly, monthly, and quarterly prices.

Keywords: geometric Brownian motion; forecasting; commodities; prices; forecasting; gold; simulation; probabilities; asset pricing (search for similar items in EconPapers)
JEL-codes: C0 C1 C2 C3 C4 C5 C6 C7 C8 C9 D4 E3 E6 F0 F1 F3 F4 F5 F6 G1 O1 O5 Q1 Q2 Q4 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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