An Apgarch Investigation of the Main Influences on the Gold Price
26 Pages Posted: 29 Aug 2005
Date Written: August 2005
The paper investigates whether the asymmetric power GARCH model (APGARCH) introduced by Ding, Granger and Engle (1993) captures the dynamics of the gold market. This paper examines both the cash and futures price of gold and significant economic variables identified during two periods: the 1987 crisis and the 2001 crisis. As specified in Ding et al. (1993) a number of ARCH and GARCH models are nested within the APGARCH model. To estimate the goodness of fit of each model, likelihood ratio tests are used. The results suggest that APGARCH model provides the most adequate description for the data. This paper is the first of its kind to undertake a significant GARCH model of the main influencers on the gold price. While further investigation is required, it has unearthed interesting results.
Keywords: Gold, APGARCH
JEL Classification: C3, G12
Suggested Citation: Suggested Citation