کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7347021 | 1476497 | 2018 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Forecasting gold futures market volatility using macroeconomic variables in the United States
ترجمه فارسی عنوان
پیش بینی نوسانات بازار آتی طلا با استفاده از متغیرهای کلان اقتصادی در ایالات متحده
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
The U.S. gold futures market has recently attracted significant attention and the gold volatility is closely linked to macroeconomics. As such, the question is how to analyze the impact of various macroeconomic variables on gold. We use the GARCH-MIDAS (mixed data sampling) model to investigate whether macroeconomic variables can improve the predictions on the volatility structure of U.S. gold futures. Our empirical results reveal that macroeconomic variables have a significant influence on gold volatility, especially during and after the global financial crisis, indicating macroeconomic variables are driving factors of the long-term volatility on the U.S. gold futures market. Additionally, we use principal component analysis to obtain key information on different macroeconomic variables and further investigate their joint effects on the volatility of gold futures, finding that the first and second principal components are good proxies of macroeconomic variables. Our results show that principal components improve forecast accuracy, as do macrovariables, which are robust to various forecast rolling window schemes.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economic Modelling - Volume 72, June 2018, Pages 249-259
Journal: Economic Modelling - Volume 72, June 2018, Pages 249-259
نویسندگان
Libing Fang, Honghai Yu, Wen Xiao,