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Structural analysis and forecast of gold price returns

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Gold has multiple attributes and its price is affected by various factors in the market.This paper studies the dynamic relationship between the gold price returns and its affecting factors.Then we use the STL-ETS,neural network and Bayesian structural time series model to predict the gold price returns,and compare their performance with the benchmark models.The results show that the shocks of crude oil returns and VIX have the positive effect on gold price returns,the shocks of the US dollar index have the negative effect on gold price returns.And the fluctuation of gold price returns mainly depends on crude oil price returns shocks.STL-ETS model can accurately fit the fluctuation trend of the gold price returns and improve prediction accuracy.

SVARSTL-ETSNeural networkBayesian structural time series modelGold price returns

Jian Chai、Chenyu Zhao、Yi Hu、Zhe George Zhang

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School of Economics and Management,Xidian University,Xi'an,710071,China

Department of Decision Sciences,College of Business and Economics,Western Washington University,Bellingham,WA,98225,USA

School of Economics and Management,University of Chinese Academy of Sciences,Beijing,100190,China

We would like to thank editors and anonymous reviewers for their valuable comments and suggestions which have significantly imprThis work is supported by the National Natural Science Foundation of China (NSFC)and the Annual Basic Scientific Research Project of Xidian University (2019)

71874133

2021

管理科学学报(英文)

管理科学学报(英文)

ISSN:2096-2320
年,卷(期):2021.6(2)
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