The importance of global economic policy uncertainty in predicting gold futures market volatility: A GARCH‐MIDAS approach
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DOI: 10.1002/fut.21897
Abstract: This paper applies the GARCH†MIDAS model to examine whether information contained in global economic policy uncertainty (GEPU) can help to predict short†and long†term components of the gold futures return variance. Our results… read more here.
Keywords: garch midas; gold futures; futures market; economic policy ... See more keywords
Forecasting gold futures market volatility using macroeconomic variables in the United States
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DOI: 10.1016/j.econmod.2018.02.003
Abstract: The U.S. gold futures market has recently attracted significant attention and the gold volatility is closely linked to macroeconomics. As such, the question is how to analyze the impact of various macroeconomic variables on gold.… read more here.
Keywords: volatility; gold futures; gold; macroeconomic variables ... See more keywords