Modelling and Forecasting Volatility of Gold Price with Other Precious Metals Prices by Univariate GARCH Models
This paper aims to model and forecast the volatility of gold price with the help of other precious metals. The data applied for application part in the article involves three financial time series which are gold, silver and platinum daily spot prices. The volatility is modeled by univariate Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models including GARCH and EGARCH with different distributions such as normal distribution and student-t distribution. At the same time, comparisons of estimation and forecasting the volatility between GARCH family models have been done.
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