Dynamic VaR Measurement of Gold Market with SV-T-MN Model

Li, Fenglan; Wang, Jie; Su, Liyun; Yang, Bo

doi:10.1155/2017/5183914

Cited by 2 publications

(2 citation statements)

References 14 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Additionally, accurate forecasting of gold prices can benefit commodity markets and the global economy. Predicting gold prices' volatility more precisely allows market participants to make better-informed decisions regarding their investments in gold [20][21][22][23].…”

Section: Introductionmentioning

confidence: 99%

The Importance of Gold’s Effect on Investment and Predicting the World Gold Price Using the ARIMA and ARIMA-GARCH Model

Bunnag

2024

Ekon. J. Econ.

View full text Add to dashboard Cite

This paper studies the importance of gold's effect on investment and the fact that gold is often seen as a safe-haven asset during economic uncertainty. When inflation rates rise, investors may turn to gold to preserve their wealth; the government will reserve gold to reduce the exchange rate risk. To provide a comprehensive analysis, the study incorporates forecasting the price of gold using both the Autoregressive Integrated Moving Average (ARIMA) and ARIMA-Generalized Autoregressive Conditional Heteroskedasticity (ARIMA-GARCH) models. The gold price data is daily from 1/01/2021 to 3/01/2024. We perform model comparisons that the ARIMA (2,1,3) and the ARIMA (2,1,3)-GARCH (1,1), which model gives lower mean absolute error (MAE) and root mean squared error (RMSE) values. The results show that the MAE and RMSE predictions of the ARIMA (2,1,3)-GARCH (1,1) model are 80.1371 and 96.8299, better than those of the other model. Therefore, the ARIMA (2,1,3)-GARCH (1,1) model forecast results are better precise. It gives a forecast value for gold prices in the world market at the end of 2024 of 1942.094 USD per troy ounce. Hence, the recommendation for investors and policymakers is that if the price is higher than 1942.094 USD per troy ounce in 2024, investors and policymakers should slow down to buy and wait for it to adjust first, or investors and policymakers with gold should gradually sell to make some profit. Moreover, good portfolio management will reduce the exchange rate risk by including an optimized amount of gold in currency portfolios. However, holding gold is risky; its prices may fluctuate due to factors beyond our control, such as war, uncertainty about world economic growth, and inflation. Therefore, investors and policymakers should consider the abovementioned factors and be careful when hedging in gold.

show abstract

Section: Introductionmentioning

confidence: 99%

The Importance of Gold’s Effect on Investment and Predicting the World Gold Price Using the ARIMA and ARIMA-GARCH Model

Bunnag

2024

Ekon. J. Econ.

View full text Add to dashboard Cite

show abstract

“…To overcome the limitation of variance as a risk measure, some useful realistic risk measures were proposed to separate undesirable downside movements from desirable upside movements. In this respect, the interested reader may also refer to the absolute semi-deviation [2,3], moment [4,5], value-at-risk (VaR) [6][7][8], and conditional value-at-risk (CVaR) [9,10].…”

Section: Introductionmentioning

confidence: 99%

New Safe Approximation of Ambiguous Probabilistic Constraints for Financial Optimization Problem

Liu

2019

Discrete Dynamics in Nature and Society

View full text Add to dashboard Cite

In financial optimization problem, the optimal portfolios usually depend heavily on the distributions of uncertain return rates. When the distributional information about uncertain return rates is partially available, it is important for investors to find a robust solution for immunization against the distribution uncertainty. The main contribution of this paper is to develop an ambiguous value-at-risk (VaR) optimization framework for portfolio selection problems, where the distributions of uncertain return rates are partially available. For tractability consideration, we deal with new safe approximations of ambiguous probabilistic constraints under two types of random perturbation sets and obtain two equivalent tractable formulations of the ambiguous probabilistic constraints. Finally, to demonstrate the potential for solving portfolio optimization problems, we provide a practical example about the Chinese stock market. The advantage of the proposed robust optimization method is also illustrated by comparing it with the existing optimization approach via numerical experiments.

show abstract

Dynamic VaR Measurement of Gold Market with SV-T-MN Model

Cited by 2 publications

References 14 publications

The Importance of Gold’s Effect on Investment and Predicting the World Gold Price Using the ARIMA and ARIMA-GARCH Model

The Importance of Gold’s Effect on Investment and Predicting the World Gold Price Using the ARIMA and ARIMA-GARCH Model

New Safe Approximation of Ambiguous Probabilistic Constraints for Financial Optimization Problem

Contact Info

Product

Resources

About