Comparing GARCH models for gold price data, using a statistical loss function approach and an option pricing approach

Master Thesis

2011

Permanent link to this Item
http://hdl.handle.net/11427/10289
Files
thesis_com_2011_cuningham_g.pdf (1.2 MB)
Authors
Cuningham, Blake
Supervisors
Kotze, Kevin
Journal Title
Link to Journal
Journal ISSN
Volume Title
Publisher
Publisher

University of Cape Town

Department
School of Management Studies
Faculty
Faculty of Commerce
License
Series
Abstract
Derivative instruments that rely on the price of gold are traded in large volumes. A significant number of these instruments are influenced by the volatility of gold price movements. Hence, it is important to understand the volatility of this commodity when developing successful trading and hedging strategies. In this thesis, use is made of various GARCH models that are evaluated using both in-sample and out-of-sample criteria.
Description
Keywords
Management Studies

Reference:

Cuningham, B. 2011. Comparing GARCH models for gold price data, using a statistical loss function approach and an option pricing approach. University of Cape Town.

Collections
Masters