Forecasting fluctuations of gold coin futures price on Iran mercantile exchange using parametric methods

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Fadaeinezhad Mohamad Esmail; SALEHABADI ALI; Asadi Gholamhosein; Vaziri Mohamad Taghi; Taati Hasan

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Journal: INVESTMENT KNOWLEDGE Year:2020 | Volume:9 | Issue:34 Page(s): 185-210

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Title

Forecasting fluctuations of gold coin futures price on Iran mercantile exchange using parametric methods

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Keywords

Futures marketQ1

FluctuationQ1

Markov-switching GARCHQ1

Abstract

One of the most important topics in financial markets in recent decades is the forcasting. The main purpose of this study is to forcast volatility future prices. In this research, four groups of symmetric GARCH (GARCH), exponential GARCH, FIGARCH and multi-regime GARCH models have been estimated and forecasted using normal distribution, t-distribution and GED distribution. According to the model error for forecasting Fluctuations, the Markov Switching GARCH model (MS-E-GARCH) is reported to be the most efficient model to forecast the Fluctuations in the gold coin Futures market. The results of the estimation by the Markov Switching GARCH model (MS-E-GARCH) show that Fluctuations of gold coin Futures market are predictable; and as a result the gold coin futures prices do not have the weak form of efficiency in both low and high volatility settings and systematic profits could be achieved in this market. According to the results of the study, the accuracy of MS-E-GARCH model is higher for GED distribution in comparison with other models.

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APA: Copy

Fadaeinezhad, Mohamad Esmail, SALEHABADI, ALI, Asadi, Gholamhosein, Vaziri, Mohamad Taghi, & Taati, Hasan. (2020). Forecasting fluctuations of gold coin futures price on Iran mercantile exchange using parametric methods. INVESTMENT KNOWLEDGE, 9(34 ), 185-210. SID. https://sid.ir/paper/389389/en

Vancouver: Copy

Fadaeinezhad Mohamad Esmail, SALEHABADI ALI, Asadi Gholamhosein, Vaziri Mohamad Taghi, Taati Hasan. Forecasting fluctuations of gold coin futures price on Iran mercantile exchange using parametric methods. INVESTMENT KNOWLEDGE[Internet]. 2020;9(34 ):185-210. Available from: https://sid.ir/paper/389389/en

IEEE: Copy

Mohamad Esmail Fadaeinezhad, ALI SALEHABADI, Gholamhosein Asadi, Mohamad Taghi Vaziri, and Hasan Taati, “Forecasting fluctuations of gold coin futures price on Iran mercantile exchange using parametric methods,” INVESTMENT KNOWLEDGE, vol. 9, no. 34 , pp. 185–210, 2020, [Online]. Available: https://sid.ir/paper/389389/en

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