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

 

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dc.contributor.advisor Kotze, Kevin en_ZA
dc.contributor.author Cuningham, Blake en_ZA
dc.date.accessioned 2014-12-27T19:47:06Z
dc.date.available 2014-12-27T19:47:06Z
dc.date.issued 2011 en_ZA
dc.identifier.citation 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. en_ZA
dc.identifier.uri http://hdl.handle.net/11427/10289
dc.description.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. en_ZA
dc.language.iso eng en_ZA
dc.subject.other Management Studies en_ZA
dc.title Comparing GARCH models for gold price data, using a statistical loss function approach and an option pricing approach en_ZA
dc.type Master Thesis
uct.type.publication Research en_ZA
uct.type.resource Thesis en_ZA
dc.publisher.institution University of Cape Town
dc.publisher.faculty Faculty of Commerce en_ZA
dc.publisher.department School of Management Studies en_ZA
dc.type.qualificationlevel Masters
dc.type.qualificationname MCom en_ZA
uct.type.filetype Text
uct.type.filetype Image
dc.identifier.apacitation Cuningham, B. (2011). <i>Comparing GARCH models for gold price data, using a statistical loss function approach and an option pricing approach</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,School of Management Studies. Retrieved from http://hdl.handle.net/11427/10289 en_ZA
dc.identifier.chicagocitation Cuningham, Blake. <i>"Comparing GARCH models for gold price data, using a statistical loss function approach and an option pricing approach."</i> Thesis., University of Cape Town ,Faculty of Commerce ,School of Management Studies, 2011. http://hdl.handle.net/11427/10289 en_ZA
dc.identifier.vancouvercitation Cuningham B. Comparing GARCH models for gold price data, using a statistical loss function approach and an option pricing approach. [Thesis]. University of Cape Town ,Faculty of Commerce ,School of Management Studies, 2011 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/10289 en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Cuningham, Blake AB - 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. DA - 2011 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2011 T1 - Comparing GARCH models for gold price data, using a statistical loss function approach and an option pricing approach TI - Comparing GARCH models for gold price data, using a statistical loss function approach and an option pricing approach UR - http://hdl.handle.net/11427/10289 ER - en_ZA


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