Mechanism of causality analysis of the foreign exchange, gold, housing and stock markets using multivariate GARCH models

Articles in Press

Document Type : Original Article

Authors
Razie Jahani
Ali Najafi Moghadam
Nowrouz Nourollahzadeh
Department of Financial Accounting, South Tehran Branch, Islamic Azad University, Tehran, Iran.
10.22034/jik.2026.78430.4730
Abstract
This article examines the mechanism of causality analysis of the foreign exchange, gold, housing and stock markets using multivariate GARCH models for the years 1371-1402. According to the results of the multivariate GARCH model, the return on the foreign exchange market has a high correlation with the return on the gold market, so that according to the results, this correlation is equal to 0.78. On the other hand, the two foreign exchange and stock markets also have a correlation of 0.45 and the two foreign exchange and housing markets have a correlation of 0.34. The gold and stock markets as well as housing and stocks have the lowest correlation coefficients of 0.07 and 0.03. According to the result of the model estimation; According to the trend of the rate of return of all four markets and also the results of the conditional variance heteroscedasticity (CCC) model, it can be seen that the highest return is related to the gold and foreign exchange markets, so according to the results of the multivariate weighted moving average model, the gold market with a growth of 37% and the foreign exchange market with a growth of 28% are highly attractive for investment, which has the highest demand for investment due to its susceptibility to fluctuations, shocks, global crises, and also high liquidity. The housing market rate of return is equal to 21%, ranking third after the gold and foreign exchange markets for investment, and finally the stock market with a growth of 14% has a low return compared to the other three markets.
Keywords
Currency
Gold
Housing
Stocks
Multivariate GARCH
Capital Market
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