{"id":"https://openalex.org/W2187531982","doi":"https://doi.org/10.32890/ijbf2012.9.1.8448","title":"Modelling and Forecasting Volatility in the Gold Market","display_name":"Modelling and Forecasting Volatility in the Gold Market","publication_year":2012,"publication_date":"2012-01-01","ids":{"openalex":"https://openalex.org/W2187531982","doi":"https://doi.org/10.32890/ijbf2012.9.1.8448","mag":"2187531982"},"language":"en","primary_location":{"id":"doi:10.32890/ijbf2012.9.1.8448","doi":"https://doi.org/10.32890/ijbf2012.9.1.8448","is_oa":true,"landing_page_url":"https://doi.org/10.32890/ijbf2012.9.1.8448","pdf_url":null,"source":{"id":"https://openalex.org/S4210227866","display_name":"International Journal of Banking and Finance","issn_l":"1675-722X","issn":["1675-722X","2590-423X","2811-3799"],"is_oa":true,"is_in_doaj":true,"is_core":true,"listed_in":["cwts-core","doaj"],"host_organization":"https://openalex.org/I94625822","host_organization_name":"Universiti Utara Malaysia","host_organization_lineage":["https://openalex.org/I94625822"],"host_organization_lineage_names":[],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Banking and Finance","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref","doaj"],"open_access":{"is_oa":true,"oa_status":"diamond","oa_url":"https://doi.org/10.32890/ijbf2012.9.1.8448","any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5111887496","display_name":"Stefan Tr\u00fcck","orcid":"https://orcid.org/0000-0002-5302-3850","observed_orcids":["https://orcid.org/0000-0002-5302-3850"]},"institutions":[{"id":"https://openalex.org/I99043593","display_name":"Macquarie University","ror":"https://ror.org/01sf06y89","country_code":"AU","type":"education","lineage":["https://openalex.org/I99043593"]}],"countries":["AU"],"is_corresponding":false,"raw_author_name":"Stefan Tr\u00fcck","raw_affiliation_strings":["Macquarie University, Australia"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Macquarie University, Australia","institution_ids":["https://openalex.org/I99043593"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5062274506","display_name":"Kevin Liang","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I99043593","display_name":"Macquarie University","ror":"https://ror.org/01sf06y89","country_code":"AU","type":"education","lineage":["https://openalex.org/I99043593"]}],"countries":["AU"],"is_corresponding":false,"raw_author_name":"Kevin Liang","raw_affiliation_strings":["Macquarie University, Australia"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Macquarie University, Australia","institution_ids":["https://openalex.org/I99043593"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I99043593"],"apc_list":null,"apc_paid":null,"fwci":3.709,"has_fulltext":false,"cited_by_count":33,"citation_normalized_percentile":{"value":0.93932088,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":98},"biblio":{"volume":"9","issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":9.999999747378752e-05,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":9.999999747378752e-05,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/gold-market","display_name":"gold market","score":0.9829999804496765},{"id":"https://openalex.org/keywords/volatility-forecasting","display_name":"volatility forecasting","score":0.7390000224113464},{"id":"https://openalex.org/keywords/value-at-risk","display_name":"value at risk","score":0.8240000009536743},{"id":"https://openalex.org/keywords/tarch-model","display_name":"TARCH model","score":0.9139999747276306},{"id":"https://openalex.org/keywords/commodity-markets","display_name":"commodity markets","score":0.8349999785423279},{"id":"https://openalex.org/keywords/out-of-sample-forecasting","display_name":"out-of-sample forecasting","score":0.8949999809265137},{"id":"https://openalex.org/keywords/backtesting","display_name":"backtesting","score":0.48399999737739563},{"id":"https://openalex.org/keywords/daily-volatility","display_name":"daily volatility","score":0.593999981880188},{"id":"https://openalex.org/keywords/random-walk-benchmark","display_name":"random walk benchmark","score":0.48100000619888306}],"concepts":[{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.8093501329421997},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.7373427152633667},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6770423054695129},{"id":"https://openalex.org/C11039479","wikidata":"https://www.wikidata.org/wiki/Q791975","display_name":"Gold as an investment","level":2,"score":0.5246960520744324},{"id":"https://openalex.org/C94128290","wikidata":"https://www.wikidata.org/wiki/Q963287","display_name":"Value at risk","level":3,"score":0.515135645866394},{"id":"https://openalex.org/C73858035","wikidata":"https://www.wikidata.org/wiki/Q1164550","display_name":"Market risk","level":2,"score":0.49523892998695374},{"id":"https://openalex.org/C121194460","wikidata":"https://www.wikidata.org/wiki/Q856741","display_name":"Random walk","level":2,"score":0.46111392974853516},{"id":"https://openalex.org/C185798385","wikidata":"https://www.wikidata.org/wiki/Q1161707","display_name":"Benchmark (surveying)","level":2,"score":0.41587963700294495},{"id":"https://openalex.org/C133029050","wikidata":"https://www.wikidata.org/wiki/Q385593","display_name":"Vector autoregression","level":2,"score":0.41452687978744507},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.36866605281829834},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.20382729172706604},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.19548064470291138},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.15100762248039246},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.13991191983222961},{"id":"https://openalex.org/C205649164","wikidata":"https://www.wikidata.org/wiki/Q1071","display_name":"Geography","level":0,"score":0.0},{"id":"https://openalex.org/C13280743","wikidata":"https://www.wikidata.org/wiki/Q131089","display_name":"Geodesy","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.32890/ijbf2012.9.1.8448","doi":"https://doi.org/10.32890/ijbf2012.9.1.8448","is_oa":true,"landing_page_url":"https://doi.org/10.32890/ijbf2012.9.1.8448","pdf_url":null,"source":{"id":"https://openalex.org/S4210227866","display_name":"International Journal of Banking and Finance","issn_l":"1675-722X","issn":["1675-722X","2590-423X","2811-3799"],"is_oa":true,"is_in_doaj":true,"is_core":true,"listed_in":["cwts-core","doaj"],"host_organization":"https://openalex.org/I94625822","host_organization_name":"Universiti Utara Malaysia","host_organization_lineage":["https://openalex.org/I94625822"],"host_organization_lineage_names":[],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Banking and Finance","raw_type":"journal-article"},{"id":"pmh:oai:repo.uum.edu.my:25027","doi":null,"is_oa":false,"landing_page_url":"https://repo.uum.edu.my/id/eprint/25027/1/IJBF%209%201%202012%2048%2080.pdf","pdf_url":"https://repo.uum.edu.my/id/eprint/25027/1/IJBF%209%201%202012%2048%2080.pdf","source":{"id":"https://openalex.org/S4306400886","display_name":"Universiti Utara Malaysia Institutional Repository (Universiti Utara Malaysia)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I65079550","host_organization_name":"Universiti Malaysia Perlis","host_organization_lineage":["https://openalex.org/I65079550"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"Article"},{"id":"pmh:oai:doaj.org/article:c9c4083d574f487a984a7f6ba0b83357","doi":null,"is_oa":false,"landing_page_url":"https://doaj.org/article/c9c4083d574f487a984a7f6ba0b83357","pdf_url":null,"source":{"id":"https://openalex.org/S4306401280","display_name":"DOAJ (DOAJ: Directory of Open Access Journals)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"International Journal of Banking and Finance (2012)","raw_type":"article"}],"best_oa_location":{"id":"doi:10.32890/ijbf2012.9.1.8448","doi":"https://doi.org/10.32890/ijbf2012.9.1.8448","is_oa":true,"landing_page_url":"https://doi.org/10.32890/ijbf2012.9.1.8448","pdf_url":null,"source":{"id":"https://openalex.org/S4210227866","display_name":"International Journal of Banking and Finance","issn_l":"1675-722X","issn":["1675-722X","2590-423X","2811-3799"],"is_oa":true,"is_in_doaj":true,"is_core":true,"listed_in":["cwts-core","doaj"],"host_organization":"https://openalex.org/I94625822","host_organization_name":"Universiti Utara Malaysia","host_organization_lineage":["https://openalex.org/I94625822"],"host_organization_lineage_names":[],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Banking and Finance","raw_type":"journal-article"},"sustainable_development_goals":[],"sustainable_development_goals_aurora":[{"id":"https://metadata.un.org/sdg/8","score":0.5199999809265137,"display_name":"Decent work and economic growth"}],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":36,"referenced_works":["https://openalex.org/W1501137668","https://openalex.org/W1576326745","https://openalex.org/W1604565168","https://openalex.org/W1909989095","https://openalex.org/W1931905523","https://openalex.org/W1963955834","https://openalex.org/W1966268097","https://openalex.org/W1971905795","https://openalex.org/W1977970167","https://openalex.org/W1980133098","https://openalex.org/W1985165919","https://openalex.org/W1999814123","https://openalex.org/W1999996900","https://openalex.org/W2003626215","https://openalex.org/W2016116986","https://openalex.org/W2019291268","https://openalex.org/W2041628101","https://openalex.org/W2044117118","https://openalex.org/W2061160212","https://openalex.org/W2062776468","https://openalex.org/W2067580741","https://openalex.org/W2070537217","https://openalex.org/W2079615115","https://openalex.org/W2088430667","https://openalex.org/W2099208941","https://openalex.org/W2122679841","https://openalex.org/W2153955954","https://openalex.org/W2154296993","https://openalex.org/W2156908840","https://openalex.org/W2164923280","https://openalex.org/W2177791359","https://openalex.org/W2263098707","https://openalex.org/W3122175640","https://openalex.org/W3123625461","https://openalex.org/W3125696988","https://openalex.org/W3168406325"],"related_works":["https://openalex.org/W2361035191","https://openalex.org/W7220000468","https://openalex.org/W2767017408","https://openalex.org/W1000732138","https://openalex.org/W2146959099","https://openalex.org/W4389780760","https://openalex.org/W2373190834","https://openalex.org/W2358293903","https://openalex.org/W2783634497","https://openalex.org/W2788209744"],"abstract_inverted_index":{"We":[0,35],"investigate":[1],"the":[2,32,66,72,78,85,90,130,146,153],"volatility":[3,17,49],"dynamics":[4],"of":[5,13,28,40,68,89,145],"gold":[6,33],"markets.":[7],"While":[8],"there":[9],"are":[10,57],"a":[11,37,118,124,138],"number":[12,39],"recent":[14],"studies":[15],"examining":[16],"and":[18,24,45,50,54,84,87,108,117],"Value-at-Risk":[19],"(VaR)":[20],"measures":[21],"in":[22,99],"financial":[23],"commodity":[25],"markets,":[26],"none":[27,144],"them":[29],"focuses":[30],"on":[31],"market.":[34],"use":[36],"large":[38],"statistical":[41],"models":[42,70,91,136,148],"to":[43,94,157],"model":[44,126],"then":[46],"forecast":[47],"daily":[48],"VaR.":[51],"Both":[52],"in-sample":[53,64],"out-of-sample":[55,76],"forecasts":[56],"evaluated":[58,112],"using":[59],"appropriate":[60],"evaluation":[61],"measures.":[62],"For":[63,75],"forecasting,":[65,77],"class":[67],"TARCH":[69,125],"provide":[71],"best":[73,128],"results.":[74],"results":[79],"were":[80,92,111],"not":[81],"that":[82],"clear-cut":[83],"order":[86],"specification":[88],"found":[93],"be":[95],"an":[96],"important":[97],"factor":[98],"determining":[100],"model\u2019s":[101],"performance.":[102],"VaR":[103],"for":[104,129],"traders":[105],"with":[106,155],"long":[107],"short":[109],"positions":[110],"by":[113],"comparing":[114],"failure":[115],"rates":[116],"simple":[119],"AR":[120],"as":[121,123],"well":[122],"perform":[127,149],"considered":[131,147],"back-testing":[132],"period.":[133],"Overall,":[134],"most":[135],"outperform":[137],"benchmark":[139],"random":[140],"walk":[141],"model,":[142],"while":[143],"significantly":[150],"better":[151],"than":[152],"rest":[154],"respect":[156],"all":[158],"adopted":[159],"criteria.":[160]},"counts_by_year":[{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":4},{"year":2022,"cited_by_count":2},{"year":2021,"cited_by_count":5},{"year":2020,"cited_by_count":4},{"year":2018,"cited_by_count":3},{"year":2017,"cited_by_count":2},{"year":2016,"cited_by_count":3},{"year":2015,"cited_by_count":1},{"year":2014,"cited_by_count":3},{"year":2013,"cited_by_count":3}],"updated_date":"2026-10-29T09:56:32.521200","created_date":"2016-06-24T00:00:00"}
