Modelling world gold prices and USD foreign exchange relationship using multivariate GARCH model

World gold price is a popular investment commodity. The series have often been modeled using univariate models. The objective of this paper is to show that there is a co-movement between gold price and USD foreign exchange rate. Using the effect of the USD foreign exchange rate on the gold price, a...

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Bibliographic Details
Main Authors: Ping Pung Yean, Ahmad Maizah Hura Binti
Format: Conference Proceeding
Language:English
Subjects:
Autoregressive models
Bivariate analysis
Cobalt
Foreign exchange rates
Gold
Gold markets
Prices
Pricing
Stochastic models
Volatility
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Summary:World gold price is a popular investment commodity. The series have often been modeled using univariate models. The objective of this paper is to show that there is a co-movement between gold price and USD foreign exchange rate. Using the effect of the USD foreign exchange rate on the gold price, a model that can be used to forecast future gold prices is developed. For this purpose, the current paper proposes a multivariate GARCH (Bivariate GARCH) model. Using daily prices of both series from 01.01.2000 to 05.05.2014, a causal relation between the two series understudied are found and a bivariate GARCH model is produced.
ISSN:0094-243X
1551-7616
DOI:10.1063/1.4903682