Gold price volatility: A forecasting approach using the Artificial Neural Network–GARCH model

作者：

Highlights：

• In this study, a hybrid model is analyzed to predict the price return volatility of the gold spot price and future price.

• The hybrid model used is a ANN–GARCH model.

• The incorporation of the ANN over the best GARCH model with regressors prediction reduces the error increasing the precision of the price return volatility forecasting.

• It was possible to determine the influence of financial variables into the gold price return volatility.

摘要

•In this study, a hybrid model is analyzed to predict the price return volatility of the gold spot price and future price.•The hybrid model used is a ANN–GARCH model.•The incorporation of the ANN over the best GARCH model with regressors prediction reduces the error increasing the precision of the price return volatility forecasting.•It was possible to determine the influence of financial variables into the gold price return volatility.

论文关键词：Gold price volatility,Artificial Neural Network,GARCH models

论文评审过程：Available online 4 May 2015, Version of Record 11 June 2015.

论文官网地址：https://doi.org/10.1016/j.eswa.2015.04.058