Macroeconomic Determinants of Volatility for the Gold Price in Ethiopia: The Application of GARCH and EWMA Volatility Models

2017 ◽  
Vol 18 (2) ◽  
pp. 308-326 ◽  
Author(s):  
Amare Wubishet Ayele ◽  
Emmanuel Gabreyohannes ◽  
Yohannes Yebabe Tesfay
Keyword(s):  
Interest Rates ◽  
Risk Premium ◽  
Asset Management ◽  
Mean Squared Error ◽  
Price Volatility ◽  
Absolute Error ◽  
Gold Price ◽  
Garch Models ◽  
Simple Fact ◽  
T Distribution

Modelling and forecasting of commodity price volatility has important applications for asset management, portfolio analysis and risk assessment due to the simple fact that volatility has informational content and contains signals of the market information flow. This article models and forecasts the gold price volatility using the exponentially weighted moving average (EWMA) and the generalized autoregressive conditional heteroscedasticity (GARCH) models for the period from 1998 to 2014. The gold series shows the classical characteristics of financial time series, such as leptokurtic distributions, data dependence and strong serial correlation in squared returns. Hence, the series can be modelled using both EWMA and GARCH-type models. Among the GARCH-type models, GARCH-M(2,2) with Student’s t distribution for the residuals was found to be the best-fit model. Moreover, the manuscript finds that interest rates, exchange rates and crude oil prices have a significant impact on gold volatility. The risk premium effect is found to be positive and statistically significant, suggesting increased volatility is followed by a higher mean. Finally, a comparison is made between the GARCH and the EWMA models. Using the relative mean squared error and mean absolute error measures, the empirical result suggests that GARCH models with explanatory variables are superior for volatility forecasting.

Risks arising from gold price volatility will rise

2020 ◽  
Keyword(s):  
Interest Rates ◽  
Opportunity Cost ◽  
Gold Mining ◽  
Price Volatility ◽  
Gold Price ◽  
Exchange Traded Funds ◽  
Current Output ◽  
Content Type ◽  
Investment Return ◽  
Chinese Banks

Significance Gold increases in attractiveness when interest rates are low, as the opportunity cost of leaving money in the metal -- which yields no inherent investment return -- is low. Investors have invested more in gold-backed exchange-traded funds for 18 consecutive weeks, a 14-year record. The gold price remains near its record high above USD2,000 per ounce. Impacts In an effort to quell speculation, Chinese banks are suspending new gold accounts; other countries may do the same. To maintain current output rates, gold mining must invest about USD37bn in greenfield projects by 2025, more than in the last five years. Investors will overshoot against interest rate shifts: nominal yields jumped in August; gold saw its fifth-largest daily loss in 25 years.

Oil and Gold Price Volatility

2011 ◽  
Author(s):  
Jan Walters Kruger ◽  
Angelo Joseph ◽  
Abraham Aphane
Keyword(s):  
Price Volatility ◽  
Gold Price

scholarly journals A Novel Computational Intelligence Approach for Coal Consumption Forecasting in Iran

2021 ◽  
Vol 13 (14) ◽  
pp. 7612
Author(s):  
Mahdis sadat Jalaee ◽  
Alireza Shakibaei ◽  
Amin GhasemiNejad ◽  
Sayyed Abdolmajid Jalaee ◽  
Reza Derakhshani
Keyword(s):  
Hybrid Method ◽  
Computational Intelligence ◽  
Energy Demand ◽  
Mean Squared Error ◽  
Absolute Error ◽  
Coal Consumption ◽  
Squared Error ◽  
Artificial Neural ◽  
Socio Economic Variables ◽  
Intelligence Approach

Coal as a fossil and non-renewable fuel is one of the most valuable energy minerals in the world with the largest volume reserves. Artificial neural networks (ANN), despite being one of the highest breakthroughs in the field of computational intelligence, has some significant disadvantages, such as slow training, susceptibility to falling into a local optimal points, sensitivity of initial weights, and bias. To overcome these shortcomings, this study presents an improved ANN structure, that is optimized by a proposed hybrid method. The aim of this study is to propose a novel hybrid method for predicting coal consumption in Iran based on socio-economic variables using the bat and grey wolf optimization algorithm with an artificial neural network (BGWAN). For this purpose, data from 1981 to 2019 have been used for modelling and testing the method. The available data are partly used to find the optimal or near-optimal values of the weighting parameters (1980–2014) and partly to test the model (2015–2019). The performance of the BGWAN is evaluated by mean squared error (MSE), mean absolute error (MAE), root mean squared error (RMSE), standard deviation error (STD), and correlation coefficient (R^2) between the output of the method and the actual dataset. The result of this study showed that BGWAN performance was excellent and proved its efficiency as a useful and reliable tool for monitoring coal consumption or energy demand in Iran.

scholarly journals Estimating Physical Activity Energy Expenditure Using an Ensemble Model-Based Patch-Type Sensor Module

Electronics ◽  
2021 ◽  
Vol 10 (7) ◽  
pp. 861
Author(s):  
Kyeung Ho Kang ◽  
Mingu Kang ◽  
Siho Shin ◽  
Jaehyo Jung ◽  
Meina Li
Keyword(s):  
Physical Activity ◽  
Energy Expenditure ◽  
Mean Squared Error ◽  
Absolute Error ◽  
Ensemble Model ◽  
Direct Calorimetry ◽  
Patch Type ◽  
Mortality And Morbidity ◽  
Squared Error ◽  
Sensor Module

Chronic diseases, such as coronary artery disease and diabetes, are caused by inadequate physical activity and are the leading cause of increasing mortality and morbidity rates. Direct calorimetry by calorie production and indirect calorimetry by energy expenditure (EE) has been regarded as the best method for estimating the physical activity and EE. However, this method is inconvenient, owing to the use of an oxygen respiration measurement mask. In this study, we propose a model that estimates physical activity EE using an ensemble model that combines artificial neural networks and genetic algorithms using the data acquired from patch-type sensors. The proposed ensemble model achieved an accuracy of more than 92% (Root Mean Squared Error (RMSE) = 0.1893, R2 = 0.91, Mean Squared Error (MSE) = 0.014213, Mean Absolute Error (MAE) = 0.14020) by testing various structures through repeated experiments.

scholarly journals A hybrid recommender system based-on link prediction for movie baskets analysis

2021 ◽  
Vol 8 (1) ◽  
Author(s):  
Mohammadsadegh Vahidi Farashah ◽  
Akbar Etebarian ◽  
Reza Azmi ◽  
Reza Ebrahimzadeh Dastjerdi
Keyword(s):  
Recommender System ◽  
Link Prediction ◽  
Mean Squared Error ◽  
Spatial Clustering ◽  
Randomized Algorithm ◽  
Similarity Criterion ◽  
Absolute Error ◽  
Similarity Criteria ◽  
Online Systems ◽  
Squared Error

AbstractOver the past decade, recommendation systems have been one of the most sought after by various researchers. Basket analysis of online systems’ customers and recommending attractive products (movies) to them is very important. Providing an attractive and favorite movie to the customer will increase the sales rate and ultimately improve the system. Various methods have been proposed so far to analyze customer baskets and offer entertaining movies but each of the proposed methods has challenges, such as lack of accuracy and high error of recommendations. In this paper, a link prediction-based method is used to meet the challenges of other methods. The proposed method in this paper consists of four phases: (1) Running the CBRS that in this phase, all users are clustered using Density-based spatial clustering of applications with noise algorithm (DBScan), and classification of new users using Deep Neural Network (DNN) algorithm. (2) Collaborative Recommender System (CRS) Based on Hybrid Similarity Criterion through which similarities are calculated based on a threshold (lambda) between the new user and the users in the selected category. Similarity criteria are determined based on age, gender, and occupation. The collaborative recommender system extracts users who are the most similar to the new user. Then, the higher-rated movie services are suggested to the new user based on the adjacency matrix. (3) Running improved Friendlink algorithm on the dataset to calculate the similarity between users who are connected through the link. (4) This phase is related to the combination of collaborative recommender system’s output and improved Friendlink algorithm. The results show that the Mean Squared Error (MSE) of the proposed model has decreased respectively 8.59%, 8.67%, 8.45% and 8.15% compared to the basic models such as Naive Bayes, multi-attribute decision tree and randomized algorithm. In addition, Mean Absolute Error (MAE) of the proposed method decreased by 4.5% compared to SVD and approximately 4.4% compared to ApproSVD and Root Mean Squared Error (RMSE) of the proposed method decreased by 6.05 % compared to SVD and approximately 6.02 % compared to ApproSVD.

Designing an efficient predictor model using PSNN and crow search based optimization technique for gold price prediction

2021 ◽  
pp. 1-9
Author(s):  
Rajashree Dash ◽  
Anuradha Routray ◽  
Rasmita Dash ◽  
Rasmita Rautray
Keyword(s):  
Mean Square Error ◽  
Optimization Technique ◽  
Absolute Error ◽  
Time Frame ◽  
Gold Price ◽  
Future Price ◽  
Mean Square ◽  
Learning Speed ◽  
Predictor Model ◽  
Hidden Layer

Predicting future price of Gold has always been an intriguing field of investigation for researchers as well as investors who desire to invest in present and gain profit in the future. Since ancient time, Gold is being arbitrated as a leading asset in monetary business. As the worth of gold changes within confined boundaries, reducing the effect of inflation, so it is a beneficial property favoured by many stakeholders. Hence, there is always an urge of a more authenticate model for forecasting the gold price based upon the changes in it in a previous time frame. This study focuses on designing an efficient predictor model using a Pi-Sigma Neural Network (PSNN) for forecasting future gold. The underlying motivation of using PSNN is its quick learning and easy implementation compared to other neural networks. The fixed unit weights used in between hidden and output layer of PSNN helps it in achieving faster learning speed compared to other similar types of networks. But estimating the unknown weights used in between the input and hidden layer is still a major challenge in its design phase. As final outcome of the network is highly influenced by its weight, so a novel Crow Search based nature inspired optimization algorithm (CSA) is proposed to estimate these adjustable weights of the network. The proposed model is also compared with Particle Swarm Optimization (PSO) and Differential Evolution (DE) based learning of PSNN. The model is validated over two historical datasets such as Gold/INR and Gold/AED by considering three statistical errors such as Mean Square Error (MSE), Root Mean Square Error (RMSE) and Mean Absolute Error (MAE). Empirical observations clearly show that, the developed CSA-PSNN predictor model is providing better prediction results compared to PSO-PSNN and DE-PSNN model.

Volatility integration of gold and crude oil prices with the interest rates in India

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Shailesh Rastogi ◽  
Adesh Doifode ◽  
Jagjeevan Kanoujiya ◽  
Satyendra Pratap Singh
Keyword(s):  
Interest Rate ◽  
Crude Oil ◽  
Interest Rates ◽  
Global Economy ◽  
Spillover Effect ◽  
Price Volatility ◽  
Volatility Spillover ◽  
Content Type ◽  
Crude Oil Prices ◽  
The Impact

PurposeCrude oil, gold and interest rates are some of the key indicators of the health of domestic as well as global economy. The purpose of the study is to find the shock volatility and price volatility effects of gold and crude oil market on interest rates in India.Design/methodology/approachThis study finds the mutual and directional association of the volatility of gold, crude oil and interest rates in India. The bi-variate GARCH models (Diagonal VEC GARCH and BEKK GARCH) are applied on the sample data of gold price, crude oil price and yield (interest rate) gathered from November 30, 2015 to November 16, 2020 (weekly basis) to investigate the volatility association including the volatility spillover effect in the three markets.FindingsThe main findings of the study focus on having a long-term conditional correlation between gold and interest rates, but there is no evidence of volatility spillover from gold and crude oil on the interest rates. The findings of the study are of great importance especially to the policymakers, as they state that the fluctuations in prices of gold and crude oil do not adversely impact the interest rates in India. Therefore, the fluctuations in prices of gold and crude may generally impact the economy, but it has nothing to do with interest rate in particular. This implies that domestic and foreign investments in the country will not be affected by gold and crude oil that are largely driven by interest rates in the country.Practical implicationsGold and crude oil are two very important commodities that have their importance not only for domestic affairs but also for international business. They veritably influence the economy including forex exchange for any nation. In addition to this, the researchers believe the findings will provide insights to policymakers, stakeholders and investors.Originality/valueGold and crude oil undoubtedly influence the exchange rates but their impact on the interest rates in an economy is not definite and remains ambiguous owing to the mixed findings of the studies. The lack of studies related to the impact of gold and crude oil on the interest rates, despite them being essentials for the health of any economy is the main motivation of this study. This study is novel as it investigates the volatility impact of crude oil and gold on interest rates and contributes to the existing literature with its findings.

scholarly journals Day-Ahead Forecasting of Hourly Photovoltaic Power Based on Robust Multilayer Perception

2018 ◽  
Vol 10 (12) ◽  
pp. 4863 ◽  
Author(s):  
Chao Huang ◽  
Longpeng Cao ◽  
Nanxin Peng ◽  
Sijia Li ◽  
Jing Zhang ◽  
...  
Keyword(s):  
Power Plants ◽  
Mean Squared Error ◽  
Absolute Error ◽  
Multilayer Perception ◽  
Squared Error ◽  
The Mean ◽  
Effectiveness And Efficiency ◽  
Mlp Network ◽  
Grid Operation ◽  
Better Than

Photovoltaic (PV) modules convert renewable and sustainable solar energy into electricity. However, the uncertainty of PV power production brings challenges for the grid operation. To facilitate the management and scheduling of PV power plants, forecasting is an essential technique. In this paper, a robust multilayer perception (MLP) neural network was developed for day-ahead forecasting of hourly PV power. A generic MLP is usually trained by minimizing the mean squared loss. The mean squared error is sensitive to a few particularly large errors that can lead to a poor estimator. To tackle the problem, the pseudo-Huber loss function, which combines the best properties of squared loss and absolute loss, was adopted in this paper. The effectiveness and efficiency of the proposed method was verified by benchmarking against a generic MLP network with real PV data. Numerical experiments illustrated that the proposed method performed better than the generic MLP network in terms of root mean squared error (RMSE) and mean absolute error (MAE).

Comparison of ANFIS and FAHP-FGP methods for supplier selection

Kybernetes ◽  
2016 ◽  
Vol 45 (3) ◽  
pp. 474-489 ◽  
Author(s):  
Moloud sadat Asgari ◽  
Abbas Abbasi ◽  
Moslem Alimohamadlou
Keyword(s):  
Performance Measures ◽  
Supplier Selection ◽  
Mean Squared Error ◽  
Selection Process ◽  
Evaluation Criteria ◽  
Absolute Error ◽  
Global Market ◽  
Content Type ◽  
Squared Error ◽  
Fuzzy Delphi

Purpose – In the contemporary global market, supplier selection represents a crucial process for enhancing firms’ competitiveness. This is a multi-criteria decision-making problem that involves consideration of multiple criteria. Therefore this requires reliable methods to select the best suppliers. The purpose of this paper is to examine and propose appropriate method for selecting suppliers. Design/methodology/approach – ANFIS and fuzzy analytic hierarchy process-fuzzy goal programming (FAHP-FGP) are new methods for evaluating and selecting the best suppliers. These methods are used in this study for evaluating suppliers of dairy industries and the results obtained from methods are compared by performance measures such as Mean Squared Error, Root Mean Squared Error, Normalized Root Men Squared Error, Mean Absolute Error, Normalized Root Men Squared Error, Minimum Absolute Error and R2. Findings – The results indicate that the ANFIS method provides better performance compared to the FAHP-FGP method in terms of the selected suppliers scoring higher in all the performance measures. Practical implications – The proposed method could help companies select the best supplier, by avoiding the influence of personal judgment. Originality/value – This study uses the well-structured method of the fuzzy Delphi in order to determine the supplier evaluation criteria as well as the most recent ANFIS and FAHP-FGP methods for supplier selection. In addition, unlike most other studies, it performs the selection process among all available suppliers.

Sign in / Sign up

Export Citation Format

Share Document