CHOOSING AN OPTIMAL MODEL FOR EXPLAINING & FORECASTING THE VOLATILITY OF IRANIAN GOLD PRICE RETURNS: A COMPARISON OF GARCH, IGARCH & FIGARCH MODELS

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

SHAHRAZI MAHDI

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2017 | Volume:8 | Issue:31 Page(s): 267-280

Download Full-Text

Persian Verion

View:

567

Download:

Cites:

Information Journal Paper

Title

CHOOSING AN OPTIMAL MODEL FOR EXPLAINING & FORECASTING THE VOLATILITY OF IRANIAN GOLD PRICE RETURNS: A COMPARISON OF GARCH, IGARCH & FIGARCH MODELS

Author(s)

SHAHRAZI MAHDI | Issue Writer Certificate

Keywords

VOLATILITY MODELINGQ1

GOLD RETURNSQ1

LONG-MEMORYQ2

FORECASTING PERFORMANCEQ1

FIGARCHQ1

Abstract

This paper compares three models of the GARCH family to investigate the volatility dynamics of gold Price returns. Nowadays, GARCH-type models have been extensively used in modeling the volatility process of various asset price returns. Gold plays a critical role as a hedge against adverse market conditions. An accurate understanding about the gold volatility is important for the financial assets pricing, risk management, portfolio selection hedging strategies and value-at-risk policies. In this study, we use Iranian GOLD RETURNS data from March 25, 2003 to December 25, 2015 and employ the GARCH (1, 1), IGARCH (1, 1) and FIGARCH (1, d, 1) specifications. The research findings show that the FIGARCH is the best model to capture dependence in the conditional variance of the GOLD RETURNS. Moreover, we examine the long memory behavior in the volatility of GOLD RETURNS. According to the estimation results, the long memory parameter is positive and statistically significant. Consequently, long memory is an important characteristic of the gold volatility returns and should be taken into consideration in investment decisions. Also, the out-of-sample evaluation criteria (MAE, RMSE and TIC) select the FIGARCH (1, d, 1) as the best forecasting model of gold volatility.

Cites

No record.

References

No record.

Cite

APA: Copy

SHAHRAZI, MAHDI. (2017). CHOOSING AN OPTIMAL MODEL FOR EXPLAINING & FORECASTING THE VOLATILITY OF IRANIAN GOLD PRICE RETURNS: A COMPARISON OF GARCH, IGARCH & FIGARCH MODELS. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 8(31 ), 267-280. SID. https://sid.ir/paper/197722/en

Vancouver: Copy

SHAHRAZI MAHDI. CHOOSING AN OPTIMAL MODEL FOR EXPLAINING & FORECASTING THE VOLATILITY OF IRANIAN GOLD PRICE RETURNS: A COMPARISON OF GARCH, IGARCH & FIGARCH MODELS. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2017;8(31 ):267-280. Available from: https://sid.ir/paper/197722/en

IEEE: Copy

MAHDI SHAHRAZI, “CHOOSING AN OPTIMAL MODEL FOR EXPLAINING & FORECASTING THE VOLATILITY OF IRANIAN GOLD PRICE RETURNS: A COMPARISON OF GARCH, IGARCH & FIGARCH MODELS,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 8, no. 31 , pp. 267–280, 2017, [Online]. Available: https://sid.ir/paper/197722/en

Related Journal Papers