Modelização VAR da volatilidade dos preços do ouro e dos índices dos mercados financeiros

Modelling the volatility of gold prices and financial stock indexes: a VAR approach

João Marques Antunes, José Alberto Fuinhas () and António Marques ()

MPRA Paper from University Library of Munich, Germany

Abstract: The interaction of volatility between the financial markets and gold market is analyzed. The volatility of the price of gold in euros, the price of gold in dollars, the U.S. industrial production índex, the S&p500 index, the VIX índex and the PSI20 index for a time horizon between January 1993 to September 2013 using the model Generalized Autoregressive Conditional Heteroscedasticity. The transmission of volatilities is performed using the Vector Autoregressive model. All variables proved to be endogenous with exception of gold, wich was modeled as an exogenous. Granger causality was detected on variables IPI→S&P500; S&P500→VIX; VIX→PSI20. The analysis of the variance decomposition indicates the prevalence of the explanation of the variables itself. Through these models we proved there is a relationship between the volatility of gold prices and financial markets.

Keywords: Volatility; PSI-20; S&P500; VIX; VAR; GARCH. (search for similar items in EconPapers)
JEL-codes: C01 C22 E44 (search for similar items in EconPapers)
Date: 2014-06-30
New Economics Papers: this item is included in nep-mac
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