Forecasting the price of gold: An error correction approach

Gangopadhyay, Kausik and Jangir, Abhishek and Sensarma, Rudra (2015): Forecasting the price of gold: An error correction approach. Published in: IIMB Management Review , Vol. 28, No. 1 (2016): pp. 6-12.

Abstract

Gold prices in Indian market may be influenced by a multitude of factors such as investment decision, inflation hedge and consumption motives. Gold prices are modelled using a vector error correction model. We identify investment decision and inflation hedge as prime movers of the data. We also present out-of-sample forecasts of our model and the related properties.

• Item Type: MPRA Paper
• Language: English
• Keywords: Gold price; cointegration; vector error correction model; inflation hedge.
• Subjects: C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C55 - Large Data Sets: Modeling and Analysis; G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice ; Investment Decisions

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