LONG RANGE DEPENDENCE AND STRUCTURAL BREAKS IN THE GOLD MARKETS

Terence Tai Leung Chong, Chenxi Lu () and Wing Hong Chan ()
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Chenxi Lu: Department of Economics, The Chinese University of Hong Kong, Shatin, NT, Hong Kong, SAR, The People’s Republic of China
Wing Hong Chan: Lazaridis School of Business and Economics, Wilfrid Laurier University, Canada

The Singapore Economic Review (SER), 2020, vol. 65, issue 02, 257-273

Abstract: The price of gold and its determining factors have been studied extensively in the literature. However, there is a lack of research on structural break in the long memory of the gold markets. This paper examines the long memory properties of gold prices. In particular, it attempts to test the stability of the long range dependence of gold returns and volatility. The results suggest that long memory exists in gold returns and volatility, and that the volatility of daily gold futures returns can be characterized by a hyperbolic decaying long memory process. Three episodes of structural breaks are found.

Keywords: Long memory; modified R/S statistic; FIGARCH; spot gold; gold futures (search for similar items in EconPapers)
Date: 2020
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Working Paper: Long Range Dependence and Structural Breaks in the Gold Markets (2016)
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DOI: 10.1142/S0217590817500096

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