Read e-book online Application of ARMA and GARCH models to the daily gold and PDF

By Van Anh Hoang

Seminar paper from the yr 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 improvement 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 approaches and the GARCH-model from Bollerslev to version heteroscedastic time sequence. the consequences, which have been got with the aid of the records package deal R, are offered in part five and six respectively. in addition to, a forecast of the costs for either resources is made in part 7, the restrictions of the study are offered 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 a protracted heritage of serving as a hedge opposed to inflation, political possibility and foreign exchange possibility, which offer financial and actual security for the traders in periods of political and financial crises in addition to fairness industry crashes. This phenomenon may 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%. in addition, researchers additionally convey that gold and greenback appear to be negatively similar, as in instances, while the buck used to be vulnerable the associated fee for gold raises. consequently, gold used to be came upon to be uncorrelated with different forms of resources, which results in merits for an investor in an period of globalization.

As gold and silver resources appear to play a big position for traders, it truly is of significant necessity to observe its costs and the volatility of the time sequence. The autoregressive relocating normal versions (ARMA) and the generalized autoregressive heteroscedasticity (GARCH) versions turned renowned for teachers and practitioners and resulted in a basic swap to the technique of interpreting monetary info. The ARMA versions 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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