The analysis of volatility of gold coin price fluctuations in Iran using ARCH models

اقتصاد پولی مالی

Article 3, Volume 17, Issue 30, January 2011   

Document Type: پژوهشی

DOI: 10.22067/pm.v17i30.27238

Authors

Majed Delavare^* ; Zeynab Rahmati

Abstract

In this paper, we investigate variations of gold coin price and also probe to model the fluctuations and conditional variance of coin market returns. The data consist of daily market prices of gold coin over the 1380 – 1386 period. Since volatility clustering is viewed in time series of returns, we employ ARCH (Autoregressive conditional heteroskedasticity) methodology in order to model the variance of returns. The results suggest that EGARCH is the best choice among other models of the ARCH family. The fluctuations are influenced by oil price and exchange rate. Exchange rate has the greater effect than oil price on conditional variance. Leverage effects were observed in gold coin market. It means that good news have greater influence rather than bad news with equivalent magnitude.

Keywords

Gold coin price; Volatility; EGARCH