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...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Universiti Utara Malaysia
2012-03-01
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| Series: | The International Journal of Banking and Finance |
| Subjects: | |
| Online Access: | https://www.e-journal.uum.edu.my/index.php/ijbf/article/view/8448 |