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Abstract(s)
A interação da volatilidade entre os mercados financeiros e o mercado do ouro é analisada. A volatilidade do preço do ouro em euros, do preço do ouro em dólares, do índice de produção industrial americano, do índice S&P500, do índice VIX e do índice PSI-20 são usados para um horizonte temporal compreendido entre Janeiro de 1993 a Setembro 2013. Recorrendo ao modelo Generalized Autoregressive Conditional Heteroscedasticity. A transmissão das volatilidades é efetuada recorrendo ao modelo Vector Autoregressive. Todas as variáveis revelaram-se endógenas à exceção do ouro que foi modelizado como exógeno. Foi detetada a causalidade de Granger das variáveis IPI?S&P500; S&P500?VIX; VIX?PSI20. A análise da decomposição da variância assinala a prevalência da explicação da própria variável. Através destes modelos provamos que existe uma relação entre a volatilidade dos preços do ouro e os mercados financeiros.
The interaction of volatility between the financial markets and gold market is analyzed. The volatility of the price of gold in euros, the price of gold in dollars, the U.S. industrial production índex, the S&p500 index, the VIX índex and the PSI20 index for a time horizon between January 1993 to September 2013 using the model Generalized Autoregressive Conditional Heteroscedasticity. The transmission of volatilities is performed using the Vector Autoregressive model. All variables proved to be endogenous with exception of gold, wich was modeled as an exogenous. Granger causality was detected on variables IPI?S&P500; S&P500?VIX; VIX?PSI20. The analysis of the variance decomposition indicates the prevalence of the explanation of the variables itself. Through these models we proved there is a relationship between the volatility of gold prices and financial markets.
The interaction of volatility between the financial markets and gold market is analyzed. The volatility of the price of gold in euros, the price of gold in dollars, the U.S. industrial production índex, the S&p500 index, the VIX índex and the PSI20 index for a time horizon between January 1993 to September 2013 using the model Generalized Autoregressive Conditional Heteroscedasticity. The transmission of volatilities is performed using the Vector Autoregressive model. All variables proved to be endogenous with exception of gold, wich was modeled as an exogenous. Granger causality was detected on variables IPI?S&P500; S&P500?VIX; VIX?PSI20. The analysis of the variance decomposition indicates the prevalence of the explanation of the variables itself. Through these models we proved there is a relationship between the volatility of gold prices and financial markets.
Description
Keywords
Garch Psi-20 S&P500 Var Vix Volatilidade