Modelling World Gold Prices and USD Foreign Exchange Relationship Using Multivariate GARCH Model

被引：0
|
作者：
Ping, Pung Yean [1 ]
Ahmad, Maizah Hura Binti [1 ]
机构：
[1] Univ Teknol Malaysia, Fac Sci, Dept Math Sci, Utm Skudai 81310, Johor, Malaysia
来源：
INTERNATIONAL CONFERENCE ON QUANTITATIVE SCIENCES AND ITS APPLICATIONS (ICOQSIA 2014) | 2014年 / 1635卷
关键词：
gold price; USD foreign exchange rate; bivariate GARCH; AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY; GENERALIZED ARCH;
D O I：
10.1063/1.4903682
中图分类号：
O59 [应用物理学];
学科分类号：
摘要：
World gold price is a popular investment commodity. The series have often been modeled using univariate models. The objective of this paper is to show that there is a co-movement between gold price and USD foreign exchange rate. Using the effect of the USD foreign exchange rate on the gold price, a model that can be used to forecast future gold prices is developed. For this purpose, the current paper proposes a multivariate GARCH (Bivariate GARCH) model. Using daily prices of both series from 01.01.2000 to 05.05.2014, a causal relation between the two series understudied are found and a bivariate GARCH model is produced.
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页码：849 / 853
页数：5
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