Precious Metals Price Forecast with ARCH Family Models in COVID-19 Pandemic Period

Hakan Oner () and Selma Oner ()

The Economics and Finance Letters, 2022, vol. 9, issue 1, 78-86

Abstract: The COVID-19 virus, which was detected for the first time in Wuhan, China in December 2019, spread to all countries of the world and, therefore, became a global epidemic. Although more than two years have passed since the outbreak of the COVID-19 pandemic, the economic effects of it continue. One of these is the effect of the pandemic on precious metal prices. Precious metals, which are called safe harbours and used as investment tools, have had a serious volatility in the last century as a result of the economic, political and pandemic factors changing the international balances. From this point of view, in this study, it is aimed to determine the appropriate forecasting model to predict the volatility of gold, silver, platinum and palladium prices, which are called precious metals, during the COVID-19 pandemic period. The econometric analysis covers the period between March 11, 2020, when the global epidemic was declared by the World Health Organization, and September 13, 2021, and includes 326 days of observation. To determine the appropriate forecasting model, ARCH, GARCH, T-GARCH, E-GARCH and PARCH are used as symmetrical and asymmetrical volatility models.

Keywords: Covid-19 pandemic; Precious metals; Price forecasting; ARCH model; GARCH model; T-GARCH model; T-GARCH model; PARCH model. (search for similar items in EconPapers)
Date: 2022
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