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1.

The analysis of volatility of gold coin price fluctuations in Iran using ARCH & VAR models Pages 583-590 Right click to download the paper Download PDF

Authors: Farsheed Sattarifar, Ali Faez, Younos Vakilolroaya

Keywords: ARCH Models, Gold Coin Price, VAR Model, Variability

Abstract:
The aim of this study is to investigate the changes in gold price and modeling of its return volatility and conditional variance model. The study gathers daily prices of gold coins as the dependent variable and the price of gold in world market, the price of oil in OPEC, exchange rate USD to IRR and index of Tehran Stock Exchange from March 2007 to July 2013 and using ARCH family models and VAR methods, the study analysis the data. The study first examines whether the data are stationary or not and then it reviews the household stability, Arch and Garch models. The proposed study investigates the causality among variables, selects different factors, which could be blamed of uncertainty in the coin return. The results indicate that the effect of sudden changes of standard deviation and after a 14-day period disappears and gold price goes back to its initial position. In addition, in this study we observe the so-called leverage effect in Iran’s Gold coin market, which means the good news leads to more volatility in futures market than bad news in an equal size. Finally, the result of analysis of variance implies that in the short-term, a large percentage change in uncertainty of the coin return is due to changes in the same factors and volatility of stock returns in the medium term, global gold output, oil price and exchange rate fluctuation to some extent will show the impact. In the long run, the effects of parameters are more evident.
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Journal: MSL | Year: 2014 | Volume: 4 | Issue: 3 | Views: 2164 | Reviews: 0

 

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