MULTIFRACTAL BEHAVIOR IN PRECIOUS METALS: WAVELET COHERENCY AND FORECASTING BY VARIMA AND V-FARIMA MODELS

Itir Doğangün and Gazanfer Ünal ()
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Itir Doğangün: School of Applied Sciences, Ozyegin University and Financial Economics Graduate Program, Yeditepe University, 34755 Istanbul, Turkey
Gazanfer Ünal: Faculty of Economics, Administrative, and Social Science, Bachesehir University, 34353 Istanbul, Turkey

Annals of Financial Economics (AFE), 2019, vol. 14, issue 02, 1-12

Abstract: We introduce a new approach to improve the forecasting performance by investigating the multifractal features and the dynamic correlations of return on spot prices of precious metals, namely, gold and platinum. The Hölder exponent of multifractal time series is employed to detect the critical fluctuations during the financial crises through measuring the multifractal behavior. We also consider co-movement of Hölder exponents and forecast the Hölder exponents of multifractal precious metal time series on coherent time periods. The results indicate that forecasting of multiple wavelet coherence of Hölder exponents of multifractal precious metal time series is efficiently improved by using Vector FARIMA and VARIMA models.

Keywords: Gold; platinum; MF-DFA; co-movement; wavelet coherence; Vector FARIMA; VARIMA (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1142/S2010495219500064

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