PRECIOUS METALS PRICE FORECAST WITH ARCH FAMILY MODELS IN COVID-19 PANDEMIC PERIOD
The Economics and Finance Letters, cilt.9, sa.1, ss.78-86, 2022 (ESCI)
- Yayın Türü: Makale / Tam Makale
- Cilt numarası: 9 Sayı: 1
- Basım Tarihi: 2022
- Doi Numarası: 10.18488/29.v9i1.3023
- Dergi Adı: The Economics and Finance Letters
- Derginin Tarandığı İndeksler: Emerging Sources Citation Index (ESCI)
- Sayfa Sayıları: ss.78-86
- İstanbul Üniversitesi-Cerrahpaşa Adresli: Evet
Özet
The COVID-19 virus, which was detected for the first time in Wuhan, China in
December 2019, spread to all countries of the world and, therefore, became a global
epidemic. Although more than two years have passed since the outbreak of the COVID19 pandemic, the economic effects of it continue. One of these is the effect of the
pandemic on precious metal prices. Precious metals, which are called safe harbours and
used as investment tools, have had a serious volatility in the last century as a result of
the economic, political and pandemic factors changing the international balances. From
this point of view, in this study, it is aimed to determine the appropriate forecasting
model to predict the volatility of gold, silver, platinum and palladium prices, which are
called precious metals, during the COVID-19 pandemic period. The econometric
analysis covers the period between March 11, 2020, when the global epidemic was
declared by the World Health Organization, and September 13, 2021, and includes 326
days of observation. To determine the appropriate forecasting model, ARCH, GARCH,
T-GARCH, E-GARCH and PARCH are used as symmetrical and asymmetrical
volatility models.