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

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...

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Bibliographic Details
Main Author:	Cuningham, Blake
Other Authors:	Kotze, Kevin
Format:	Dissertation
Language:	English
Published:	University of Cape Town 2014
Subjects:	Management Studies
Online Access:	http://hdl.handle.net/11427/10289

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spelling	ndltd-netd.ac.za-oai-union.ndltd.org-uct-oai-localhost-11427-102892020-10-06T05:11:25Z Comparing GARCH models for gold price data, using a statistical loss function approach and an option pricing approach Cuningham, Blake Kotze, Kevin Management Studies 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. 2014-12-27T19:47:06Z 2014-12-27T19:47:06Z 2011 Master Thesis Masters MCom http://hdl.handle.net/11427/10289 eng application/pdf University of Cape Town Faculty of Commerce School of Management Studies
collection	NDLTD
language	English
format	Dissertation
sources	NDLTD
topic	Management Studies
spellingShingle	Management Studies Cuningham, Blake Comparing GARCH models for gold price data, using a statistical loss function approach and an option pricing approach
description	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.
author2	Kotze, Kevin
author_facet	Kotze, Kevin Cuningham, Blake
author	Cuningham, Blake
author_sort	Cuningham, Blake
title	Comparing GARCH models for gold price data, using a statistical loss function approach and an option pricing approach
title_short	Comparing GARCH models for gold price data, using a statistical loss function approach and an option pricing approach
title_full	Comparing GARCH models for gold price data, using a statistical loss function approach and an option pricing approach
title_fullStr	Comparing GARCH models for gold price data, using a statistical loss function approach and an option pricing approach
title_full_unstemmed	Comparing GARCH models for gold price data, using a statistical loss function approach and an option pricing approach
title_sort	comparing garch models for gold price data, using a statistical loss function approach and an option pricing approach
publisher	University of Cape Town
publishDate	2014
url	http://hdl.handle.net/11427/10289
work_keys_str_mv	AT cuninghamblake comparinggarchmodelsforgoldpricedatausingastatisticallossfunctionapproachandanoptionpricingapproach
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Comparing GARCH models for gold price data, using a statistical loss function approach and an option pricing approach

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