On the Predictability and Resilience of Gold Prices’ Returns and Volatility

John Francis T. Diaz

Journal of Applied Finance & Banking, 2016, vol. 6, issue 6, 2

Abstract: Utilizing forty-five years of daily London gold price fixes, this paper finds the presence of dual long-memory processes in the 10:30am fix and the 3:00pm price fix utilizing ARFIMA-FIGARCH and ARFIMA-FIEGARCH models, respectively. This research proves that the return and volatility of the London Gold price fixes have predictable structures and does not conform to the weakform efficient assumption of Fama (1970). This study also suggests that the London gold price fixes do not exhibit leverage effects and asymmetric volatility response properties. This means that gold as an investment is generally immune to negative shocks, proving the resilience of gold as financial instrument. This paper also reveals the ARFIMA-FIAPARCH models have better fit in modeling the morning gold fix, while the ARFIMA-FIEGARCH model is more suitable in modeling the afternoon gold fix.

Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.scienpress.com/Upload/JAFB%2fVol%206_6_2.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spt:apfiba:v:6:y:2016:i:6:f:6_6_2

Access Statistics for this article

More articles in Journal of Applied Finance & Banking from SCIENPRESS Ltd
Bibliographic data for series maintained by Eleftherios Spyromitros-Xioufis ().