Analysis of BIST Gold Index Volatility With Autoregressive Conditional Heteroscedasticity Models

Authors : İpek Yurttagüler

Pages : 1256-1276

Doi:10.15869/itobiad.1390321

View : 76 | Download : 107

Publication Date : 2024-09-30

Article Type : Research Paper

Abstract :Gold is one of the most accepted and reliable investment instruments of all time. On the other hand, its importance in today\'s financial markets is indisputable. The increasing importance of precious metals, especially gold, which started with the mercantilist process, continues until today. The mercantilist process was a period in which the existence of gold and silver mines was accepted as a measure of wealth. In this period when protectionist economic policies were implemented, it was accepted that the more precious metals entered into the country with the economic policies implemented, the greater the wealth. The importance of gold continued after the end of the mercantilist process. Both the gold standard system and the Bretton Woods periods were also periods when gold was an important investment instrument. Today, gold appears as an asset that is frequently used in times of crisis, both because it is a safe investment instrument and because it is used as a store of value. In this context, empirically measuring and predicting volatility in gold prices is important due to its economic effects on key macroeconomic variables. However, although it lays the groundwork for a theoretical and empirical literature, it stands out that it has a relatively limited research area. This study estimates volatility using ARCH-GARCH-EGARCH and TGARCH modeling techniques with Türkiye gold price data between 2005-2023. These models are statistical models used to model volatility changes in time series. With these models, it is possible to understand and predict how volatility in time series changes over time. At this point, the study aims to contribute to the relatively small literature on gold market volatility. The findings of the study show that the most appropriate model to estimate the volatility in gold prices for Türkiye is GARCH(1,1).
Keywords : Oynaklık, Altın Fiyatları, BIST Altın Endeksi, ARCH, GARCH