LONG RANGE DEPENDENCE AND STRUCTURAL BREAKS IN THE GOLD MARKETS

TERENCE TAI LEUNG CHONG, CHENXI LU, WING HONG CHAN
2017 Singapore Economic Review  
The price of gold and its determining factors have been studied extensively in the literature. However, there is a lack of research on structural break in the long memory of the gold markets. This paper examines the long memory properties of gold prices. In particular, it attempts to test the stability of the long range dependence of gold returns and volatility. The results suggest that long memory exists in gold returns and volatility, and that the volatility of daily gold futures returns can
more » ... e characterized by a hyperbolic decaying long memory process. Three episodes of structural breaks are found.
doi:10.1142/s0217590817500096 fatcat:fyxnonu6vzddpdgb462wihi7ru