Investigating seasonality, policy intervention and forecasting in the Indian gold futures market: a comparison based on modeling non-constant variance using two different methods

Nargunam, Rupel; Wei, William W. S.; Anuradha, N.

doi:10.1186/s40854-021-00283-9

Cited by 3 publications

(2 citation statements)

References 47 publications

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“…Therefore, the definition of diversifier and results of our analysis suggest that in a portfolio, the gold futures contract acts as a portfolio diversifier when compared to returns on bonds. However, from plots in Figures 1, 7 we see that the price of gold futures does not fall when the bond returns fall and a recent study examining efficacy of tax policy on market prices shows that Government intervention in the gold futures market is not statistically significant [13].…”

Section: Relationship Of Gold Futures With Bond and Stockmentioning

confidence: 75%

Analyses of the impact of country specific macro risk variables on gold futures contract and its position as an asset class: evidence from India

Nargunam

Wei

Anuradha

2023

Statistics and Its Interface

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This paper discusses the dependence of gold futures prices on macro risk factors using a multiple linear regression model. Recently introduced uncertainty indexes such as geopolitical risk index and economic policy uncertainty index are included in this study. We also examine the investment nature of gold futures contract among other assets. The results provide insights on the influence of these interrelated macro economic variables on a financial derivative contract in an emerging economy and its unique position in portfolio allocation and are aimed to help practitioners and policy makers.

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Section: Relationship Of Gold Futures With Bond and Stockmentioning

confidence: 75%

Analyses of the impact of country specific macro risk variables on gold futures contract and its position as an asset class: evidence from India

Nargunam

Wei

Anuradha

2023

Statistics and Its Interface

Self Cite

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“…Beberapa penelitian telah mengkombinasikan antara metode ARIMA/SARIMA dengan ARCH/GARCH serta Intervensi dengan ARCH/GARCH. Wei et al (2021) melakukan peramalan harga emas berjangka di India menggunakan ARIMA/GARCH dan Intervensi untuk mengatasi volatilitas. Menemukan metode yang sesuai sangat penting untuk menganalisis dan memperkirakan deret waktu yang memiliki efek musiman, intervensi, dan volatilitas.…”

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Prediksi Indikator Makro Ekonomi Indonesia Pasca Pandemi Covid-19 Menggunakan Analisis Intervensi

Nabilah,

Effendi,

Priyono

2023

EEB

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Adanya pola tren, musiman dan intervensi dari pandemi Covid-19 membuat pola data berubah ke tingkat rata-rata baru, yang menyebabkan hasil peramalan menjadi kurang akurat. Tujuan penelitian ini adalah untuk mendapatkan model dan hasil prediksi pertumbuhan ekonomi, inflasi, Nilai Tukar Rupiah dan Tingkat Pengangguran Terbuka (TPT) pasca pandemi Covid-19 di Indonesia dengan mengaplikasikan metode Intervention Time Series Analysis. Analisis intervensi adalah metode time series yang bisa digunakan untuk memodelkan dan memprediksi data yang mengandung intervensi. Dengan analisis intervensi, informasi mengenai kapan dampak dirasakan setelah peristiwa intervensi, berapa lama dampak berlangsung dan besarnya dampak tersebut dapat diketahui. Pengembangan model Intervensi-ARCH/GARCH juga dilakukan ketika model intervensi yang dibentuk memiliki masalah heteroskedastisitas. Model intervensi yang digunakan adalah model fungsi pulse dengan pola respon abrupt temporary, dimana dampak dari intervensi pandemi Covid-19 terjadi secara langsung dan bersifat sementara. Evaluasi hasil prediksi menggunakan metode Analisis intervensi menunjukan bahwa model yang terbentuk sudah cukup baik untuk memprediksi indikator makro ekonomi. Hasil prediksi indikator makro ekonomi ini dapat bermanfaat untuk dijadikan dasar dalam pengambilan keputusan atau kebijakan bagi pemerintah dan pemangku kepentingan lainnya.

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Features of different asset types and extreme risk transmission during the COVID-19 crisis

Tsai

2024

Financ Innov

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Unlike the current extensive literature, which discusses which assets can avoid the risks caused by the COVID-19 pandemic, this study examines whether the characteristics of different assets affect the extreme risk transmission of the COVID-19 crisis. This study explores the effects of COVID-19 pandemic–related risk factors (i.e., pandemic severity, pandemic regulations and policies, and vaccination-related variables) on the risk of extreme volatility in asset returns across eight assets. These eight assets belong to the following classes: virtual, financial, energy, commodities, and real assets. To consider the different possible aspects of the COVID-19 impact, this study adopts both empirical methods separately, considering variables related to the pandemic as exogenous shocks and endogenous factors. Using these methods, this study enabled a systematic analysis of the relationship between the features of different asset types and the effects of extreme risk transmission during the COVID-19 crisis. The results show that different types of asset markets are affected by different risk factors. Virtual and commodity assets do not exhibit extreme volatility induced by the COVID-19 pandemic. The energy market, including crude oil, is most affected by the negative impact of the severity of the pandemic, which is unfavorable for investment at the beginning of the pandemic. However, after vaccinations and pandemic regulations controlled the spread of infection, the recovery of the energy market made it more conducive to investment. In addition, this study explains the differences between the hedging characteristics of Bitcoin and gold. The findings of this study can help investors choose asset types systematically when faced with different shocks.

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Investigating seasonality, policy intervention and forecasting in the Indian gold futures market: a comparison based on modeling non-constant variance using two different methods

Cited by 3 publications

References 47 publications

Analyses of the impact of country specific macro risk variables on gold futures contract and its position as an asset class: evidence from India

Analyses of the impact of country specific macro risk variables on gold futures contract and its position as an asset class: evidence from India

Prediksi Indikator Makro Ekonomi Indonesia Pasca Pandemi Covid-19 Menggunakan Analisis Intervensi

Features of different asset types and extreme risk transmission during the COVID-19 crisis

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