{"title":"基于对称和非对称波动率模型的黄金价格波动预测","authors":"Metin Teti̇k","doi":"10.56578/jcgirm050201","DOIUrl":null,"url":null,"abstract":"With this paper the author forecasts the out-of-sample volatility of gold price changes in Turkey. Looking at the both the symmetric and the asymmetric evaluation criteria, GJR-GARCH model is the best fitted model for forecasting gold price volatility in Turkey. The GJR-GARCH model findings reveal a negative shock asymmetry for gold prices. Thus, it shows that positive news in the market affects the volatility of gold prices in the next period more than negative news.","PeriodicalId":404632,"journal":{"name":"Journal of Corporate Governance, Insurance, and Risk Management","volume":"27 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2018-12-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Forecasting of Gold Prices Volatility with Symmetric and Asymmetric Volatility Models\",\"authors\":\"Metin Teti̇k\",\"doi\":\"10.56578/jcgirm050201\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"With this paper the author forecasts the out-of-sample volatility of gold price changes in Turkey. Looking at the both the symmetric and the asymmetric evaluation criteria, GJR-GARCH model is the best fitted model for forecasting gold price volatility in Turkey. The GJR-GARCH model findings reveal a negative shock asymmetry for gold prices. Thus, it shows that positive news in the market affects the volatility of gold prices in the next period more than negative news.\",\"PeriodicalId\":404632,\"journal\":{\"name\":\"Journal of Corporate Governance, Insurance, and Risk Management\",\"volume\":\"27 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2018-12-03\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Corporate Governance, Insurance, and Risk Management\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.56578/jcgirm050201\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Corporate Governance, Insurance, and Risk Management","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.56578/jcgirm050201","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Forecasting of Gold Prices Volatility with Symmetric and Asymmetric Volatility Models
With this paper the author forecasts the out-of-sample volatility of gold price changes in Turkey. Looking at the both the symmetric and the asymmetric evaluation criteria, GJR-GARCH model is the best fitted model for forecasting gold price volatility in Turkey. The GJR-GARCH model findings reveal a negative shock asymmetry for gold prices. Thus, it shows that positive news in the market affects the volatility of gold prices in the next period more than negative news.
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