Volatility in gold market and hedging with gold futures contract
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2011
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Advisor: Yrd. Doç. Dr. Hamdi Emeç
Abstract (EN)
In this study, changing of gold prices in Turkey?s gold market is examined. The basic aim is to model volatility in gold market. Fort his purpose, ARCH(1), GARCH(1,1), EGARCH(1,1), TARCH(1,1) and TARCH(2,2) models from autoregressive conditionally heteroskedastic models are used. Consequently, it is determined that TARCH(2,2) is the most appropriate model to model volatility in gold market.Fructuations in gold market bring about risk for people who have gold debt and firms which display activity in gold market. Gold futures contract provides hedging against to risks which consist of fructuations in gold prices. Besides, it is provided to derive revenue from gold futures contract.
Author
Deniz Erer
Institution
How to Cite
Deniz Erer (Master Thesis). Volatility in gold market and hedging with gold futures contract, 2011, Dokuz Eylül University.
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