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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.
ISSN: 2757-0983
Appears in Collections:JCGIRM, Volume 5, Issue 2, 2018

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