Modeling Gold Volatility: Realized GARCH Approach
Publish place: Iranian Economic Review Journal، Vol: 24، Issue: 1
Publish Year: 1399
نوع سند: مقاله ژورنالی
زبان: English
View: 82
This Paper With 13 Page And PDF Format Ready To Download
- Certificate
- من نویسنده این مقاله هستم
استخراج به نرم افزارهای پژوهشی:
شناسه ملی سند علمی:
JR_IER-24-1_012
تاریخ نمایه سازی: 21 مهر 1402
Abstract:
F orecasting the volatility of a financial asset has wide implications in finance. Conditional variance extracted from the GARCH framework could be a suitable proxy of financial asset volatility. Option pricing, portfolio optimization, and risk management are examples of implications of conditional variance forecasting. One of the most recent methods of volatility forecasting is Realized GARCH (RGARCH) that considers a simultaneous model for both realized volatility and conditional variance at the same time. In this article, we estimate conditional variance with GARCH, EGARCH, GIR-GARCH, and RGARCH with two realized volatility estimators using gold intraday data. We compared models, for in-sample fitting; by the log-likelihood value and used MSE and QLIKE lose functions to evaluate predicting accuracy. The results show that the RGARCH method for GOLD outperforms the other methods in both ways. So, using the RGARCH model in practical situations, like pricing and risk management would tend to better results.
Keywords:
Authors
Esmaiel Abounoori
Department of Economics, Semnan University, Semnan, Iran
Mohammad Zabol
Department of Economics, Semnan University, Semnan, Iran
مراجع و منابع این Paper:
لیست زیر مراجع و منابع استفاده شده در این Paper را نمایش می دهد. این مراجع به صورت کاملا ماشینی و بر اساس هوش مصنوعی استخراج شده اند و لذا ممکن است دارای اشکالاتی باشند که به مرور زمان دقت استخراج این محتوا افزایش می یابد. مراجعی که مقالات مربوط به آنها در سیویلیکا نمایه شده و پیدا شده اند، به خود Paper لینک شده اند :