The role of global economic conditions in forecasting gold market volatility : evidence from a GARCH-MIDAS approach
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Date
Authors
Salisu, Afees A.
Gupta, Rangan
Bouri, Elie
Ji, Qiang
Journal Title
Journal ISSN
Volume Title
Publisher
Elsevier
Abstract
In this study, we examine the role of global economic conditions in the predictability of gold market volatility using alternative measures. Based on the available data frequency for the relevant series, we adopt the GARCH-MIDAS approach which allows for mixed-data frequencies. We find that global economic conditions contribute significantly to gold market volatility, albeit with mixed outcomes. While the results also lend support to the safe-haven properties of the gold market, the outcome can be influenced by the choice of measure for global economic conditions. For completeness, we extend the analyses to other precious metals (palladium, platinum, rhodium and silver) and find that the global economic conditions forecast the return volatility of the gold market better than these other precious metals. Our results are robust to multiple forecast horizons and offer useful insights on the plausible investment choices in the precious metals market.
Description
Keywords
Precious metals volatility, Global economic conditions, Mixed-frequency
Sustainable Development Goals
Citation
Salisu, A.A., Gupta, R., Bouri, E. & Ji, Q. 2020, 'The role of global economic conditions in forecasting gold market volatility: Evidence from a GARCH-MIDAS approach', Research in International Business and Finance, vol. 54, art. 101308, pp. 1-9.