Volatility In Gold Market: Model Recommendation For Turkey

Abstract

Gold is traditionally perceived as a store of wealth and also considered as a monetary asset and a safe heaven especially in financial markets. Nowadays its monetary asset and safe heaven perception are outweigh. In this context investigating gold price has importance for finance literature. In this paper volatility of Turkish gold price is investigating using İstanbul Gold Exchange (USD/Ons) daily data for the period of 01.01.2010 – 28.10.2016. This paper aims to detect to asymmetric effects then asymmetric volatility models which are APARCH, TARCH and EGARCH are used, and GARCH model is used. Based on model comparison criteria APARCH model is chosen as a best model to explain volatility of returns of gold price. Result of APARCH model shows that the leverage effect exists and found that negative. According to the result, it is found that the volatility in the Turkish gold price is more affected by positive shocks than negative shocks.