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Application of ARMA and GARCH models to the daily gold and by Van Anh Hoang

By Van Anh Hoang

Seminar paper from the yr 2016 within the topic enterprise economics - Banking, inventory Exchanges, coverage, Accounting, grade: 1,7, ecu collage Viadrina Frankfurt (Oder) (Lehrstuhl Statistik), direction: WS 2015/2016, language: English, summary: This paper offers with the improvement of the gold and silver costs from January 2001 till January 2015 and introduces the ARMA-model from field & Jenkins for (weakly) desk bound stochastic tactics and the GARCH-model from Bollerslev to version heteroscedastic time sequence. the consequences, that have been acquired with the aid of the records package deal R, are awarded in part five and six respectively. along with, a forecast of the costs for either resources is made in part 7, the restrictions of the learn are awarded in part eight and part nine concludes with a precis of the findings.

It is well known within the monetary global that either equities, silver and gold have an extended historical past of serving as a hedge opposed to inflation, political chance and currency trading possibility, which supply monetary and actual protection for the traders in periods of political and monetary crises in addition to fairness industry crashes. This phenomenon should be saw within the 2008 monetary quandary, the place different mineral costs fell, yet purely the gold cost elevated via 6%. additionally, researchers additionally convey that gold and greenback appear to be negatively comparable, as in instances, whilst the greenback was once vulnerable the cost for gold raises. for that reason, gold was once stumbled on to be uncorrelated with different forms of resources, which ends up in benefits for an investor in an period of globalization.

As gold and silver resources appear to play a tremendous position for traders, it's of significant necessity to watch its costs and the volatility of the time sequence. The autoregressive relocating regular types (ARMA) and the generalized autoregressive heteroscedasticity (GARCH) types grew to become renowned for teachers and practitioners and resulted in a basic switch to the process of analyzing monetary info. The ARMA types were additional prolonged and an effective modelling of the volatility of the costs with GARCH types was once additional inspected via many researchers.

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