Forecasting fluctuations of gold coin futures price on Iran mercantile exchange using parametric methods

Document Type : Original Article

Authors
mohamad esmail fadainejad 1
ali saleabadi 2
gholamhosein asadi 1
mohamad taghi vaziri 3
hasan taati kashani 4
1 beheshti university
2 imam sadegh university
3 california uited univesity
4 Beheshti university
Abstract
One of the most important topics in financial markets in recent decades is the forcasting. The main purpose of this study is to forcast volatility future prices.
In this research, four groups of symmetric GARCH (GARCH), exponential GARCH, FIGARCH and multi-regime GARCH models have been estimated and forecasted using normal distribution, t-distribution and GED distribution. According to the model error for forecasting fluctuations, the Markov Switching GARCH model (MS-E-GARCH) is reported to be the most efficient model to forecast the fluctuations in the gold coin futures market.
The results of the estimation by the Markov Switching GARCH model (MS-E-GARCH) show that fluctuations of gold coin futures market are predictable; and as a result the gold coin futures prices do not have the weak form of efficiency in both low and high volatility settings and systematic profits could be achieved in this market. According to the results of the study, the accuracy of MS-E-GARCH model is higher for GED distribution in comparison with other models.
Keywords
Futures market
Fluctuation
Markov-switching GARCH
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