Jsong1836/The-GARCH-models-A-study-of-the-volatility-of-gold-returns Jsong1836/The-GARCH-models-A-study-of-the-volatility-of-gold-returns

  • Stars
    star
    4
  • Rank 3,304,323 (Top 66 %)
  • Language
    R
  • License
    Apache License 2.0
  • Created over 3 years ago
  • Updated about 3 years ago
Twitter logo Share LinkedIn logo Share Facebook logo Share
Jsong1836/The-GARCH-models-A-study-of-the-volatility-of-gold-returns
github

Jsong1836

Reviews

There are no reviews yet. Be the first to send feedback to the community and the maintainers!

Repository Details

The objective of this paper is to show the performance of volatility forecasting using different GARCH models. In particular, this paper attempt to capture the leverage effects in gold returns depending on regime changes which are strongly influenced by market conditions.

More Repositories

1

Composite-Stress-Index

This index was calculated by following the general method of the European Central Bank's Composite index of systemic stress index available on European Central bank's statistical warehouse as CISS. Data import process is automatized by "Quantmod" and "Qunadl" where there are three main data sources (Fred, Yahoo, Quandl). Since these data sources are free, this function can be used with different source of financial stress that users think more efficient in order to capture financial stress. The main difference from the ECB's calculation, this index includes commodity market as a source of financial stress.
R
6
star