Long Range Dependence and Structural Breaks in the Gold Markets

Terence Tai Leung Chong, Chenxi Lu and Wing Chan ()

MPRA Paper from University Library of Munich, Germany

Abstract: The price of gold and its determining factors have been studied extensively in the literature. However, there is a lack of research on structural break in the long memory of the gold markets. This paper examines the long memory properties of gold prices. In particular, it attempts to test the stability of the long range dependence of gold returns and volatility. The results suggest that long memory exists in gold returns and volatility, and that the volatility of daily gold futures returns can be characterized by a hyperbolic decaying long memory process. Three episodes of structural breaks are found.

Keywords: Long Memory; Modified R/S Statistic; FIGARCH; Spot Gold; Gold Futures (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: 2016-07-29
New Economics Papers: this item is included in nep-his
References: Add references at CitEc
Citations:

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/80553/1/MPRA_paper_80553.pdf original version (application/pdf)

Related works:
Journal Article: LONG RANGE DEPENDENCE AND STRUCTURAL BREAKS IN THE GOLD MARKETS (2020)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:80553

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().