Resumen

DIAZ-HERNANDEZ, Adán; RAMIREZ SANCHEZ, José Carlos  y  SALAZAR FLORES, Yuri. Determinants of changes in gold returns. Contad. Adm [online]. 2020, vol.65, n.2, 00008.  Epub 09-Dic-2020. ISSN 0186-1042.  https://doi.org/10.22201/fca.24488410e.2018.1973.

This paper explains the behavior of logarithmic gold returns between 1995 and 2017 by using several conditional mean and variance models that incorporate asymmetry and heavy tails effects. For this purpose, we conduct, first, an analysis based on standard autoregressive vectors in order to identify the main external regressors and, later, a sort of adjustments with different specifications of the AR-GARCH type to forecast the volatility of gold-price fluctuations. The main conclusion is that these fluctuations can be adequately explained by the behavior of the USDEER and SP500 series according to the specification AR(1)-GARCH (1, 1) that has a Student t distribution associated to it. This means that the long-term determinants of gold-return volatilities are related to exchange rate hedging strategies and anti-cyclical protection against stock markets variations by investors.

Palabras llave : C46; C51; D81; Gold price fluctuations; VAR; GARCH; Risk measures; Volatility forecasts.

        · resumen en Español     · texto en Español | Inglés     · Español ( pdf ) | Inglés ( pdf )