文章基本信息

标题：Forecasting Volatility of Gold Price Using Markov Regime Switching and Trading Strategy
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作者：Nop Sopipan ; Pairote Sattayatham ; Bhusana Premanode 等
期刊名称：Journal of Mathematical Finance
印刷版ISSN：2162-2434
电子版ISSN：2162-2442
出版年度：2012
卷号：2
期号：1
页码：121-131
DOI：10.4236/jmf.2012.21014
出版社：Scientific Research Publishing
摘要：In this paper, we forecast the volatility of gold prices using Markov Regime Switching GARCH (MRS-GARCH) models. These models allow volatility to have different dynamics according to unobserved regime variables. The main purpose of this paper is to find out whether MRS-GARCH models are an improvement on the GARCH type models in terms of modeling and forecasting gold price volatility. The MRS-GARCH is best performance model for gold price volatility in some loss function. Moreover, we forecast closing prices of gold price to trade future contract. MRS-GARCH got the most cumulative return same GJR model.
关键词：Forecasting; Volatility; Gold Price; Markov Regime Switching