Analysis Of The Gold Price Volatility-Characteristics And Reasons

Gold is a special commodity, let alone currency property entitled by history; it also has an investment property that derived from its commodity and currency properties. Most researches that related to gold price fluctuations are based on these three properties. There are extensive literatures explored the relationship between the effectiveness of the gold market, gold hedge against inflation/dollar’s role in risk aversion effect gold, gold and other commodity prices, and even some literatures began to discuss the price of gold is a bubble in the last decade. With the deepening of the study, the researchers began to realize that there should be more comprehensive analysis.In accordance with the most literature research’s ideas, this article will discuss the factors gold price volatility in three dimensions:the gold commodity price fluctuations affect its properties, properties that affect their monetary gold price volatility, gold’s safe-haven attributes it’s the impact of price fluctuations. More important issue is to select the empirical methods. It is completely reasonable to select the time node in advance. However, by doing so will lead two questions:if we know how to divide the range, then it means we have to reveal the factors that influence the gold price fluctuations in advance, thus it will lead to an answer of "testing" but "exploring". Second, though we can discuss these issues in detail by adding the time node, it is somewhat tedious dispute. Therefore, we need to employ an advanced time series method.Time series is a statistical indicator chronological sequence and composition data. Intuitive perspective, economic variables over time is constantly changing;" an easily visible but not easy to grasp the changes " were also present and time series. This change can be a sudden change in the time series of the internal mechanism, the external environment may be caused by changes of state occurs. If you know the point of this "mutation" occurs, you may well want to explore the question answered by the segmentation study. However, this change is very difficult to grasp precisely, this is because the time series change of the original cover of the internal mechanism of this change. This shows that the nonlinearity of the time-series data has. Currently, the point cannot conclude that "mutation" occurs in the model used in the more mundane academic community to deal with this model nonlinear time series data was first proposed in1989has Hamilton. Markov Regime Switching model by incorporating multiple mechanisms of structural equation, nonlinear time series by a change to a different state in the transition portrayed. This complex mechanism of dynamic evolution Markov Regime Switching portrayed, making this study can explore the roots of their required to answer questions. Transformation model with a mechanism for macroeconomic and financial market analysis is a very popular area.This article could be divided in three dimensions. The first level is the general research of gold price fluctuation based on Markov Regime Switching Auto Regressive Model, the second layer used Markov model to analyze the mechanism were transferred three properties that affect the use of gold price fluctuations, the final Markov Regime Switching Vector Autoregression combines those three factors and processes gold prices as a systematic interactions between those properties. This article hopes to discussion the following questions:Distinguishing the factors that affect gold price volatility. The basic features of gold price volatility. How to use those factors mentioned above to explain volatility of gold prices? That is, did the gold commodity, currency, risk hedge properties attribute to the fluctuations of its price, and of what circumstances, what time or what kind of impact.