Ghlamreza Keshavarz-Haddad; Mohammad Amin Zabol
Abstract
In this paper, Value at Risk for Gold prices Is estimated by the Extreme Value theory and parametric method with Normal and t-student distribution for disturbance term in the mean equation together with a range of the conditional variances estimation techniques including, GARCH (1.1), TGARCH, EGARCH, ...
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In this paper, Value at Risk for Gold prices Is estimated by the Extreme Value theory and parametric method with Normal and t-student distribution for disturbance term in the mean equation together with a range of the conditional variances estimation techniques including, GARCH (1.1), TGARCH, EGARCH, PGARCH, FIGARCH and FIEGARCH Models. The two-stage Back-Testing method is used to evaluate the adequacy and accuracy of the calculation methods. Furthermore, we rank the accuracy of the estimation methods by a loss function. Our findings show that the most accurate method, In terms of the value of the loss function and among the applied econometrics methods, is VaR by t-student distribution for gold return and PGARCH for the long position and acceptable performance for the short position.
Siab Mamipour; Elham Mogaddasi
Abstract
This paper aims to study the role of gold, stock and foreign currency as hedges against inflation in Iran based on monthly data over period 2000-2016 by using a novel approach with nonlinear autoregressive distributed lags (NARDL). To achieve this goal, the effect of positive and negative inflation shocks ...
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This paper aims to study the role of gold, stock and foreign currency as hedges against inflation in Iran based on monthly data over period 2000-2016 by using a novel approach with nonlinear autoregressive distributed lags (NARDL). To achieve this goal, the effect of positive and negative inflation shocks on price of these assets is estimated separately. The results show that all assets (foreign currency, gold and stock) are hedges against inflation in Iranian economy. As inflation rate increases, the prices of these assets also increase, but the magnitude and type of their hedge against inflation vary in different time horizons. The results show that the effects of both positive and negative inflation shocks on gold price are symmetric in the short-run, but in the long run, the effect of positive inflation shocks on gold price are more than negative shocks. The results of the inflationary coverage of foreign currency show that the effects of the positive and negative inflation shocks on it are asymmetric in the short-run and long-run; while these effects are symmetric for stocks in both short- and long-term. Furthermore, stocks is a proper hedge against inflation in the long run and not only it maintains purchasing power, but also it increases value of investors’ assets. Moreover, the inflationary coverage of foreign currency and gold are the same and less than rising inflation, but exchange rate is a hedge in the short-run and gold plays the role of hedge against inflation in the long-run.
Khalil Jahangiri; Samad Hekmati Farid
Volume 15, Issue 56 , April 2015, , Pages 161-194
Abstract
The aim of this paper is to investigate the relationship between Stock, gold coin and currency markets (as domestic markets), as well as, oil and gold markets and the U.S.A and European stock markets (as international markets) over the period of April 2001 to September 2013 using the Markov ...
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The aim of this paper is to investigate the relationship between Stock, gold coin and currency markets (as domestic markets), as well as, oil and gold markets and the U.S.A and European stock markets (as international markets) over the period of April 2001 to September 2013 using the Markov Regime Switching model and volatility spillover analysis. The empirical results in domestic markets showed that in low return regime, there is no significant spillover between markets so; the estimated value of spillover index is about 7.8 percent. In contrast, the value of spillover index in high return states is about 42 percent. Also, the results showed that when the world equity markets are in regime zero (low return regime), the gold market acts as an intermediary for the transmission of shocks from global markets to asset markets in Iran. In contrast, when the world equity markets are in regime one (high return regime), the oil market acts as a transmission channel of shocks.
