The role of global economic conditions in forecasting gold market volatility: Evidence from a GARCH-MIDAS approach(z.star)

doi:10.1016/j.ribaf.2020.101308

	The role of global economic conditions in forecasting gold market volatility: Evidence from a GARCH-MIDAS approach(z.star); The role of global economic conditions in forecasting gold market volatility: Evidence from a GARCH-MIDAS approach(z.star)
	Salisu, Afees A.; Gupta, Rangan; Bouri, Elie; Ji, Qiang
刊名	RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE ; RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE
	2020 ; 2020
卷号	54
DOI	10.1016/j.ribaf.2020.101308 ; 10.1016/j.ribaf.2020.101308
英文摘要	In this study, we examine the role of global economic conditions in the predictability of gold market volatility using alternative measures. Based on the available data frequency for the relevant series, we adopt the GARCH-MIDAS approach which allows for mixed-data frequencies. We find that global economic conditions contribute significantly to gold market volatility, albeit with mixed outcomes. While the results also lend support to the safe-haven properties of the gold market, the outcome can be influenced by the choice of measure for global economic conditions. For completeness, we extend the analyses to other precious metals (palladium, platinum, rhodium and silver) and find that the global economic conditions forecast the return volatility of the gold market better than these other precious metals. Our results are robust to multiple forecast horizons and offer useful insights on the plausible investment choices in the precious metals market.; In this study, we examine the role of global economic conditions in the predictability of gold market volatility using alternative measures. Based on the available data frequency for the relevant series, we adopt the GARCH-MIDAS approach which allows for mixed-data frequencies. We find that global economic conditions contribute significantly to gold market volatility, albeit with mixed outcomes. While the results also lend support to the safe-haven properties of the gold market, the outcome can be influenced by the choice of measure for global economic conditions. For completeness, we extend the analyses to other precious metals (palladium, platinum, rhodium and silver) and find that the global economic conditions forecast the return volatility of the gold market better than these other precious metals. Our results are robust to multiple forecast horizons and offer useful insights on the plausible investment choices in the precious metals market.
语种	英语 ; 英语
内容类型	期刊论文
源URL	[http://ir.casisd.cn/handle/190111/9826]
专题	中国科学院科技战略咨询研究院
推荐引用方式 GB/T 7714	Salisu, Afees A.,Gupta, Rangan,Bouri, Elie,et al. The role of global economic conditions in forecasting gold market volatility: Evidence from a GARCH-MIDAS approach(z.star), The role of global economic conditions in forecasting gold market volatility: Evidence from a GARCH-MIDAS approach(z.star)[J]. RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE,2020, 2020,54, 54.
APA	Salisu, Afees A.,Gupta, Rangan,Bouri, Elie,&Ji, Qiang.(2020).The role of global economic conditions in forecasting gold market volatility: Evidence from a GARCH-MIDAS approach(z.star).RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE,54.
MLA	Salisu, Afees A.,et al."The role of global economic conditions in forecasting gold market volatility: Evidence from a GARCH-MIDAS approach(z.star)".RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE 54(2020).