Download e-book for kindle: Application of ARMA and GARCH models to the daily gold and by Van Anh Hoang

By Van Anh Hoang

ISBN-10: 3668201676

ISBN-13: 9783668201675

Seminar paper from the yr 2016 within the topic company economics - Banking, inventory Exchanges, assurance, Accounting, grade: 1,7, eu college Viadrina Frankfurt (Oder) (Lehrstuhl Statistik), direction: WS 2015/2016, language: English, summary: This paper offers with the advance of the gold and silver costs from January 2001 till 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 got with assistance from the facts package deal R, are provided in part five and six respectively. in addition to, a forecast of the costs for either resources is made in part 7, the constraints of the examine are provided in part eight and part nine concludes with a precis of the findings.

It is well known within the monetary global that either equities, silver and gold have a protracted heritage of serving as a hedge opposed to inflation, political possibility and forex threat, which supply monetary and actual safeguard for the traders in periods of political and monetary crises in addition to fairness industry crashes. This phenomenon will be saw within the 2008 monetary quandary, the place different mineral costs fell, yet basically the gold rate elevated through 6%. in addition, researchers additionally express that gold and buck appear to be negatively similar, as in instances, while the greenback used to be susceptible the fee for gold raises. consequently, gold was once came upon to be uncorrelated with different sorts of resources, which results in merits for an investor in an period of globalization.

As gold and silver resources appear to play a big function for traders, it truly is of significant necessity to watch its costs and the volatility of the time sequence. The autoregressive relocating usual types (ARMA) and the generalized autoregressive heteroscedasticity (GARCH) versions grew to become renowned for teachers and practitioners and resulted in a primary swap to the strategy of reading monetary info. The ARMA types were extra prolonged and an effective modelling of the volatility of the costs with GARCH versions used to be extra inspected by means of many researchers.

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Application of ARMA and GARCH models to the daily gold and silver exchange prices in US dollar (Aus der Reihe: e-fellows.net stipendiaten-wissen) by Van Anh Hoang


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