Munich Personal RePEc Archive

Long Range Dependence and Structural Breaks in the Gold Markets

Chong, Terence Tai Leung and Lu, Chenxi and Chan, Wing H. (2016): Long Range Dependence and Structural Breaks in the Gold Markets. Forthcoming in: Singapore Economic Review

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Abstract

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 be characterized by a hyperbolic decaying long memory process. Three episodes of structural breaks are found.

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