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Price of Gold and US Dollar Index

Price of Gold and US Dollar Index. Dwarakamayi Polakam Jennifer Griffeth Ashley Arlotti Rui Feng Ying Fan Qi He Qi Li. Group C Presentation. 2. 3. 1. Price of Gold 2.1 Analysis of GOLD 2.2 Analysis of DLNGOLD 2.3 AR Model 2 .4 GARCH Model 2.5 Forecasting.

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Price of Gold and US Dollar Index

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  1. Price of Gold and US Dollar Index Dwarakamayi Polakam Jennifer Griffeth Ashley Arlotti Rui Feng Ying Fan Qi He Qi Li Group CPresentation

  2. 2 3 1 Price of Gold 2.1 Analysis of GOLD 2.2 Analysis of DLNGOLD 2.3 AR Model 2.4GARCH Model 2.5 Forecasting Relationship Between Gold and US Dollar 3.1 The Cross Correlogram 3.2 Analysis of w and resm (Distributed Lag Model) 3.3 Analysis of DLNGOLD and DLNDOLLAR 3.4 Causality Test 3.5 VAR Analysis US Dollar Index 1.1 Analysis of DOLLARINDEX 1.2 Analysis of DLNDOLLAR 1.3 AR Model 1.4 Forecasting Overview

  3. Part 1: US Dollar Index The First Model: DLNDOLLAR

  4. 1.1 Analysis of DOLLARINDEX • (1) Trace

  5. 1.1 Analysis of DOLLARINDEX • (2) Histogram

  6. 1.1 Analysis of DOLLARINDEX • (3) Correlogram

  7. 1.1 Analysis of DOLLARINDEX • (4) Unit Root Test

  8. 1.2 Analysis of DLNDOLLAR • (1) Trace

  9. 1.2 Analysis of DLNDOLLAR • (2) Histogram

  10. 1.2 Analysis of DLNDOLLAR • (3) Correlogram

  11. 1.2 Analysis of DLNDOLLAR • (4) Unit Root Test

  12. 1.3 AR(1), AR(2) Model • (1) Add AR(1) and AR(2)

  13. 1.3 AR(1), AR(2) Model • (2a) Diagnostic - Actual, fitted and residual

  14. 1.3 AR(1), AR(2) Model • (2b) Diagnostic - Correlogram of residuals

  15. 1.3 AR(1), AR(2) Model • (2c) Diagnostic - Histogram of residuals

  16. 1.3 AR(1), AR(2) Model • (2d) Diagnostic - Serial Correlation test on residuals

  17. 1.3 AR(1), AR(2) Model • (2e) Diagnostic - Correlogram of residual squared

  18. 1.3 AR(1), AR(2) Model • (2f) Diagnostic - Heteroskedasticity test

  19. 1.4 Forecasting • (1) Confidence Interval of Two Standard Error

  20. 1.4 Forecasting • (2) Forecast for Next Eight Months

  21. Part 2: Price of Gold The Second Model: DLNGOLD

  22. 2.1 Analysis of GOLD • (1) Trace

  23. 2.1 Analysis of GOLD • (2) Histogram

  24. 2.1 Analysis of GOLD • (3) Correlogram

  25. 2.1 Analysis of GOLD • (4) Unit Root Test

  26. 2.2 Analysis of DLNGOLD • (1) Trace

  27. 2.2 Analysis of DLNGOLD • (2) Histogram

  28. 2.2 Analysis of DLNGOLD • (3) Correlogram

  29. 2.2 Analysis of DLNGOLD • (4) Unit Root Test

  30. 2.3 AR(1) , AR(2), AR(7), AR(8), AR(11) and AR(18) Model • (1) AIC, SIC, etc for Different Models

  31. 2.3 AR(1) , AR(2), AR(7), AR(8), AR(11) and AR(18) Model • (2) Add AR(1) , AR(2), AR(7), AR(8), AR(11) and AR(18)

  32. 2.3 AR(1) , AR(2), AR(7), AR(8), AR(11) and AR(18) Model • (3a) Diagnostic - Actual, fitted and residual

  33. 2.3 AR(1) , AR(2), AR(7), AR(8), AR(11) and AR(18) Model • (3b) Diagnostic - Correlogram of residuals

  34. 2.3 AR(1) , AR(2), AR(7), AR(8), AR(11) and AR(18) Model • (3c) Diagnostic - Histogram of residuals

  35. 2.3 AR(1) , AR(2), AR(7), AR(8), AR(11) and AR(18) Model • (3d) Diagnostic - Serial Correlation test on residuals

  36. 2.3 AR(1) , AR(2), AR(7), AR(8), AR(11) and AR(18) Model • (3e) Diagnostic - Correlogram of residual squared

  37. 2.3 AR(1) , AR(2), AR(7), AR(8), AR(11) and AR(18) Model • (3f) Diagnostic - Heteroskedasticity test

  38. 2.4GARCH Model • (1) Add GARCH

  39. 2.4GARCH Model • (2a) Diagnostic - Correlogram of residuals

  40. 2.4GARCH Model • (2b) Diagnostic - Histogram of residuals

  41. 2.4GARCH Model • (2c) Diagnostic - Correlogram of residual squared

  42. 2.4GARCH Model • (2d) Diagnostic - Heteroskedasticity test

  43. 2.5 Forecasting • (1) Confidence Interval of Two Standard Error

  44. 2.5 Forecasting • (2) Forecast for Next Eight Months

  45. Part 3: Relationship Between Gold and US Dollar

  46. 3.1 The Cross Section Correlogram

  47. 3.2 Analysis of w and resm • (1) Theoretical Analysis LNGOLD(t) = h0LNDOLLAR(t) + h1LNDOLLAR(t-1) + h2LNDOLLAR(t-2) +…+ e(t) = (h0 + h1Z + h2Z2 +…) LNDOLLAR(t) + e(t) = h(z)LNDOLLAR(t) + e(t) First Difference: DLNGOLD(t) = h(z) DLNDOLLAR(t) + e(t) Fit AR(2) model to DLNDOLLAR, B(z)*DLNDOLLAR = WN(t), B(z)* DLNGOLD(t) = h(z)* B(z)*DLNDOLLAR(t) + B(z)* e(t) W(t) = h(z) * resm + error(t)

  48. 3.2 Analysis of w and resm • (2a) Analysis of w and resm

  49. 3.2 Analysis of w and resm • (2b) Analysis of w and resm with AR terms

  50. 3.2 Analysis of w and resm • (3a) Diagnostic - Actual, fitted and residual

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