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

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dc.contributor.advisorKotze, Kevinen_ZA
dc.contributor.authorCuningham, Blakeen_ZA
dc.date.accessioned2014-12-27T19:47:06Z
dc.date.available2014-12-27T19:47:06Z
dc.date.issued2011en_ZA
dc.description.abstractDerivative 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.identifier.apacitationCuningham, 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/11427/10289en_ZA
dc.identifier.chicagocitationCuningham, 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/11427/10289en_ZA
dc.identifier.citationCuningham, 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.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
dc.identifier.urihttp://hdl.handle.net/11427/10289
dc.identifier.vancouvercitationCuningham 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/11427/10289en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentSchool of Management Studiesen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherManagement Studiesen_ZA
dc.titleComparing GARCH models for gold price data, using a statistical loss function approach and an option pricing approachen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMComen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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