Please use this identifier to cite or link to this item:
https://www.um.edu.mt/library/oar/handle/123456789/67918| Title: | Forecasting of gold prices volatility with symmetric and asymmetric volatility models |
| Authors: | Tetik, Metin |
| Keywords: | Gold -- Prices -- Turkey Gold -- Prices -- Forecasting GARCH model |
| Issue Date: | 2018 |
| Publisher: | Governance Research and Development Centre, Croatia & University of Malta, Faculty of Economics, Management and Accountancy, Department of Insurance |
| Citation: | Tetik, M. (2018). Forecasting of gold prices volatility with symmetric and asymmetric volatility models. Journal of Corporate Governance, Insurance and Risk Management, 5(2), 1-14. |
| Abstract: | With this paper the author forecasts the out-of-sample volatility of gold price changes in Turkey. Looking at the both the symmetric and the asymmetric evaluation criteria, GJR-GARCH model isthe best fitted model for forecasting gold price volatility in Turkey. The GJR-GARCH model findings reveal a negative shock asymmetry for gold prices. Thus, it shows that positive news in the market affects the volatility of gold prices in the next period more than negative news. |
| URI: | https://www.um.edu.mt/library/oar/handle/123456789/67918 |
| ISSN: | 2757-0983 |
| Appears in Collections: | JCGIRM, Volume 5, Issue 2, 2018 |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| JCGIRM5(2)A1.pdf | 349.92 kB | Adobe PDF | View/Open |
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