An Apgarch Investigation of the Main Influences on the Gold Price

26 Pages Posted: 29 Aug 2005

See all articles by Edel Tully

Edel Tully

Trinity College (Dublin) - School of Business Studies

Brian M. Lucey

Trinity Business School, Trinity College Dublin; University of Sydney Business School; University of Economics Ho Chi Minh City

Date Written: August 2005

Abstract

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

Tully, Edel and Lucey, Brian M., An Apgarch Investigation of the Main Influences on the Gold Price (August 2005). Available at SSRN: https://ssrn.com/abstract=792205 or http://dx.doi.org/10.2139/ssrn.792205

Edel Tully (Contact Author)

Trinity College (Dublin) - School of Business Studies ( email )

AAP College Green
Dublin 2
Ireland
+353 1 608 1552 (Phone)

Brian M. Lucey

Trinity Business School, Trinity College Dublin ( email )

The Sutherland Centre, Level 6, Arts Building
Dublin 2
Ireland
+353 1 608 1552 (Phone)
+353 1 679 9503 (Fax)

University of Sydney Business School ( email )

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Sydney, NSW 2006
Australia

University of Economics Ho Chi Minh City ( email )

59C Nguyen Dình Chieu
6th Ward, District 3
Ho Chi Minh City, Ho Chi Minh 70000
Vietnam

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