THE ANALYSIS FACTORS AFFECTING THE VOLATILITY OF FUTURE PRICES OF GOLDCOIN

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DELAVARI MAJID; ROSHANI NAFISE

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Paper Information

Journal: Financial Economics Year:2012 | Volume:6 | Issue:19 Page(s): 29-58

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Title

THE ANALYSIS FACTORS AFFECTING THE VOLATILITY OF FUTURE PRICES OF GOLDCOIN

Author(s)

DELAVARI MAJID | ROSHANI NAFISE | Issue Writer Certificate

Keywords

GOLD COIN FUTURES PRICESQ2

VOLATILITYQ2

GARCHQ2

EGARCHQ2

Abstract

In this paper, we investigate VOLATILITY of gold coin futures and spot prices and also probe to model the fluctuations and conditional variance of coin market returns. The data consist of daily market prices of futures and spot gold coin over the 1390 – 1391 period. Since VOLATILITY clustering is viewed in time series of returns, we employ ARCH (Autoregressive conditional heteroskedasticity) methodology in order to model the variance of returns. The results suggest that E GARCH is the best choice among other models of the ARCH family. The fluctuations are influenced by World prices for Gold, exchange rate and Stock Index. the spot price of gold coin (the day before), returns of exchange rate, Stock Index and returns of World gold prices predicted have the greatest impact on the conditional variance.

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APA: Copy

DELAVARI, MAJID, & ROSHANI, NAFISE. (2012). THE ANALYSIS FACTORS AFFECTING THE VOLATILITY OF FUTURE PRICES OF GOLDCOIN. JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT), 6(19), 29-58. SID. https://sid.ir/paper/229090/en

Vancouver: Copy

DELAVARI MAJID, ROSHANI NAFISE. THE ANALYSIS FACTORS AFFECTING THE VOLATILITY OF FUTURE PRICES OF GOLDCOIN. JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT)[Internet]. 2012;6(19):29-58. Available from: https://sid.ir/paper/229090/en

IEEE: Copy

MAJID DELAVARI, and NAFISE ROSHANI, “THE ANALYSIS FACTORS AFFECTING THE VOLATILITY OF FUTURE PRICES OF GOLDCOIN,” JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT), vol. 6, no. 19, pp. 29–58, 2012, [Online]. Available: https://sid.ir/paper/229090/en

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