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

By Van Anh Hoang

Seminar paper from the 12 months 2016 within the topic company economics - Banking, inventory Exchanges, assurance, Accounting, grade: 1,7, ecu college Viadrina Frankfurt (Oder) (Lehrstuhl Statistik), direction: WS 2015/2016, language: English, summary: This paper bargains with the advance of the gold and silver costs from January 2001 until eventually January 2015 and introduces the ARMA-model from field & Jenkins for (weakly) desk bound stochastic procedures and the GARCH-model from Bollerslev to version heteroscedastic time sequence. the consequences, that have been bought with assistance from the facts package deal R, are offered in part five and six respectively. along with, a forecast of the costs for either resources is made in part 7, the constraints of the learn are awarded in part eight and part nine concludes with a precis of the findings.

It is celebrated within the monetary global that either equities, silver and gold have an extended historical past of serving as a hedge opposed to inflation, political probability and currency trading probability, which supply fiscal and actual protection for the traders during periods of political and fiscal crises in addition to fairness marketplace crashes. This phenomenon might be saw within the 2008 monetary main issue, the place different mineral costs fell, yet in simple terms the gold rate elevated by means of 6%. additionally, researchers additionally express that gold and buck appear to be negatively similar, as in occasions, whilst the buck was once vulnerable the associated fee for gold raises. as a result, gold was once came upon to be uncorrelated with different varieties of resources, which results in merits for an investor in an period of globalization.

As gold and silver resources appear to play a massive function for traders, it really is of significant necessity to observe its costs and the volatility of the time sequence. The autoregressive relocating general types (ARMA) and the generalized autoregressive heteroscedasticity (GARCH) types grew to become well known for lecturers and practitioners and resulted in a basic switch to the strategy of interpreting monetary facts. 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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