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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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Main Author: Cuningham, Blake
Other Authors: Kotze, Kevin
Format: Thesis
Language:English
Published: School of Management Studies 2014
Subjects:
Management Studies
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access_status_str Open Access
author Cuningham, Blake
author2 Kotze, Kevin
author_browse Cuningham, Blake
Kotze, Kevin
author_facet Kotze, Kevin
Cuningham, Blake
author_sort Cuningham, Blake
collection Thesis
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.
format Thesis
id oai:open.uct.ac.za:11427/10289
institution University of Cape Town (South Africa)
language eng
last_indexed 2026-06-10T12:33:57.504Z
license_str Not specified — see source repository
provenance_str_mv Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository
publishDate 2014
publishDateRange 2014
publishDateSort 2014
publisher School of Management Studies
publisherStr School of Management Studies
record_format dspace
source_str UCTD — University of Cape Town Open Access Repository
spelling oai:open.uct.ac.za:11427/10289 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 School of Management Studies Faculty of Commerce University of Cape Town
spellingShingle Management Studies
Cuningham, Blake
Comparing GARCH models for gold price data, using a statistical loss function approach and an option pricing approach
thesis_degree_str Master's
title 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_short 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
topic Management Studies
url http://hdl.handle.net/11427/10289
work_keys_str_mv AT cuninghamblake comparinggarchmodelsforgoldpricedatausingastatisticallossfunctionapproachandanoptionpricingapproach

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