بررسي تغييرپذيري نوسانات قيمت سكه طلا در ايران با استفاده از مدلهاي ARCH

The analysis of volatility of gold coin pricc fluctuations in Iran using ARCII models

In this paper, we investigate variations of gold coin price and also probe to model the fluctuations and conditional variance of coin market returns. The data consist of daily market prices of gold coin over the 1380 - 1386 period. Since volatility clustering is viewed in time series of returns, we employ ARCH (Autoregressive conditional heteroskedasticity) methodology in order to model the variance of returns. The results suggest that EGARCH is the best choice among other models of the ARCH family. The fluctuations are influenced by oil price and exchange rate. Exchange rate has the greater effect than oil price on conditional variance. Leverage effects were observed in gold coin market. It means that good news have greater influence rather than bad news with equivalent magnitude.