1. OAR@UM
  2. External Research Collection
  3. Social Sciences
  4. Finance
  5. Journal of Corporate Governance, Insurance and Risk Management
  6. 2018
  7. JCGIRM, Volume 5, Issue 2, 2018
Please use this identifier to cite or link to this item: https://www.um.edu.mt/library/oar/handle/123456789/67918
Full metadata record
DC FieldValueLanguage
dc.contributor.authorTetik, Metin-
dc.date.accessioned2021-01-27T07:23:36Z-
dc.date.available2021-01-27T07:23:36Z-
dc.date.issued2018-
dc.identifier.citationTetik, 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.en_GB
dc.identifier.issn2757-0983-
dc.identifier.urihttps://www.um.edu.mt/library/oar/handle/123456789/67918-
dc.description.abstractWith 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.en_GB
dc.language.isoenen_GB
dc.publisherGovernance Research and Development Centre, Croatia & University of Malta, Faculty of Economics, Management and Accountancy, Department of Insuranceen_GB
dc.rightsinfo:eu-repo/semantics/openAccessen_GB
dc.subjectGold -- Prices -- Turkeyen_GB
dc.subjectGold -- Prices -- Forecastingen_GB
dc.subjectGARCH modelen_GB
dc.titleForecasting of gold prices volatility with symmetric and asymmetric volatility modelsen_GB
dc.typearticleen_GB
dc.rights.holderThe copyright of this work belongs to the author(s)/publisher. The rights of this work are as defined by the appropriate Copyright Legislation or as modified by any successive legislation. Users may access this work and can make use of the information contained in accordance with the Copyright Legislation provided that the author must be properly acknowledged. Further distribution or reproduction in any format is prohibited without the prior permission of the copyright holder.en_GB
dc.description.reviewedpeer-revieweden_GB
dc.publication.titleJournal of Corporate Governance, Insurance and Risk Managementen_GB
Appears in Collections:JCGIRM, Volume 5, Issue 2, 2018

Files in This Item:
File Description SizeFormat 
JCGIRM5(2)A1.pdf349.92 kBAdobe PDFView/Open
Show simple item record Statistics


Items in OAR@UM are protected by copyright, with all rights reserved, unless otherwise indicated.