Modelling and Forecasting Volatility in the Gold Market
We investigate the volatility dynamics of gold markets. While there are a number of recent studies examining volatility and Value-at-Risk (VaR) measures in financial and commodity markets, none of them focuses on the gold market. We use a large number of statistical models to model and then forecast...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Universiti Utara Malaysia Press
2012
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| Subjects: | |
| Online Access: | http://repo.uum.edu.my/25027/1/IJBF%209%201%202012%2048%2080.pdf http://repo.uum.edu.my/25027/ http://ijbf.uum.edu.my/index.php/previous-issues/145-the-international-journal-of-banking-and-finance-ijbf-vol-9-no-1-march-2012 |
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