Application of ARMA and GARCH models to the daily gold and silver exchange prices in US dollar

Business & Finance, Finance & Investing, Banks & Banking
Cover of the book Application of ARMA and GARCH models to the daily gold and silver exchange prices in US dollar by Van Anh Hoang, GRIN Verlag
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: Van Anh Hoang ISBN: 9783668201668
Publisher: GRIN Verlag Publication: April 21, 2016
Imprint: GRIN Verlag Language: English
Author: Van Anh Hoang
ISBN: 9783668201668
Publisher: GRIN Verlag
Publication: April 21, 2016
Imprint: GRIN Verlag
Language: English

Seminar paper from the year 2016 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,7, European University Viadrina Frankfurt (Oder) (Lehrstuhl Statistik), course: WS 2015/2016, language: English, abstract: This paper deals with the development of the gold and silver prices from January 2001 until January 2015 and introduces the ARMA-model from Box & Jenkins for (weakly) stationary stochastic processes and the GARCH-model from Bollerslev to model heteroscedastic time series. The results, which were obtained with the help of the statistics package R, are presented in section 5 and 6 respectively. Besides, a forecast of the prices for both assets is made in section 7, the limitations of the research are presented in section 8 and section 9 concludes with a summary of the findings. It is widely known in the financial world that both equities, silver and gold have a long history of serving as a hedge against inflation, political risk and currency exchange risk, which provide economic and physical safety for the investors during times of political and economic crises as well as equity market crashes. This phenomenon could be observed in the 2008 financial crisis, where other mineral prices fell, but only the gold price increased by 6%. Moreover, researchers also show that gold and dollar seem to be negatively related, as in times, when the dollar was weak the price for gold increases. Hence, gold was found to be uncorrelated with other types of assets, which leads to advantages for an investor in an era of globalization. As gold and silver assets seem to play an important role for investors, it is of great necessity to monitor its prices and the volatility of the time series. The autoregressive moving average models (ARMA) and the generalized autoregressive heteroscedasticity (GARCH) models became popular for academics and practitioners and led to a fundamental change to the approach of examining financial data. The ARMA models have been further extended and an efficient modelling of the volatility of the prices with GARCH models was further inspected by many researchers.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

Seminar paper from the year 2016 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,7, European University Viadrina Frankfurt (Oder) (Lehrstuhl Statistik), course: WS 2015/2016, language: English, abstract: This paper deals with the development of the gold and silver prices from January 2001 until January 2015 and introduces the ARMA-model from Box & Jenkins for (weakly) stationary stochastic processes and the GARCH-model from Bollerslev to model heteroscedastic time series. The results, which were obtained with the help of the statistics package R, are presented in section 5 and 6 respectively. Besides, a forecast of the prices for both assets is made in section 7, the limitations of the research are presented in section 8 and section 9 concludes with a summary of the findings. It is widely known in the financial world that both equities, silver and gold have a long history of serving as a hedge against inflation, political risk and currency exchange risk, which provide economic and physical safety for the investors during times of political and economic crises as well as equity market crashes. This phenomenon could be observed in the 2008 financial crisis, where other mineral prices fell, but only the gold price increased by 6%. Moreover, researchers also show that gold and dollar seem to be negatively related, as in times, when the dollar was weak the price for gold increases. Hence, gold was found to be uncorrelated with other types of assets, which leads to advantages for an investor in an era of globalization. As gold and silver assets seem to play an important role for investors, it is of great necessity to monitor its prices and the volatility of the time series. The autoregressive moving average models (ARMA) and the generalized autoregressive heteroscedasticity (GARCH) models became popular for academics and practitioners and led to a fundamental change to the approach of examining financial data. The ARMA models have been further extended and an efficient modelling of the volatility of the prices with GARCH models was further inspected by many researchers.

More books from GRIN Verlag

Cover of the book Welche Rolle spielt Kinderfernsehen in den Alltagsgesprächen von Kindern zwischen 8 und 12 Jahren by Van Anh Hoang
Cover of the book Sigmund Freuds ,,Massenpsychologie und Ich-Analyse' by Van Anh Hoang
Cover of the book Messung von sprachlichen Teilfertigkeiten by Van Anh Hoang
Cover of the book Überblick der Vertriebswege im Retail-Banking by Van Anh Hoang
Cover of the book Charakterisierung des dynamischen Verhaltens einer Fräsmaschine by Van Anh Hoang
Cover of the book Zuspielertraining im Volleyball by Van Anh Hoang
Cover of the book Möglichkeiten und Grenzen der Kontrolle des Nachlassgerichts über den Testamentsvollstrecker by Van Anh Hoang
Cover of the book Kingdon trifft Hartz. Die Hartz-Reformen im Lichte des Multiple-Streams-Ansatzes by Van Anh Hoang
Cover of the book Devolution, die West Lothian Question und Lösungsmöglichkeiten by Van Anh Hoang
Cover of the book Wenn Stammkunden zu Ausbeutern werden by Van Anh Hoang
Cover of the book Goethes Italienreise und der Einfluss auf seine Persönlichkeit by Van Anh Hoang
Cover of the book Hotelkasse führen und abrechnen (Unterweisung Hotelfachmann / -fachfrau) by Van Anh Hoang
Cover of the book Ernährungsverhaltensweisen Jugendlicher im Kontext ihrer Lebensstile by Van Anh Hoang
Cover of the book Alternativen zum neoliberalen Um- bzw. Abbau des Sozialstaates by Van Anh Hoang
Cover of the book Soziale Probleme und Soziale Arbeit unter besonderer Berücksichtigung des ausgewählten sozialen Problems der Alkoholabhängigkeit by Van Anh Hoang
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy