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 strategies. In this thesis, use is made of various GARCH models that are evaluated using both in-sample and out-of-sample criteria.

Grantor dc:publisher.institution

School of Management Studies

Year dc:date.issued

2011

Author dc:creator

• Cuningham, Blake

Advisor dc:contributor.advisor

• Kotze, Kevin

Language dc:language.iso

eng

Handle dc:identifier.uri

http://hdl.handle.net/11427/10289

OAI identifier oai:identifier

oai:open.uct.ac.za:11427/10289