%0 Journal Article
%T Forecasting Volatility of Gold Price Using Markov Regime Switching and Trading Strategy
%A Nop Sopipan
%A Pairote Sattayatham
%A Bhusana Premanode
%J Journal of Mathematical Finance
%P 121-131
%@ 2162-2442
%D 2012
%I Scientific Research Publishing
%R 10.4236/jmf.2012.21014
%X In this paper, we forecast the volatility of gold prices using Markov Regime Switching GARCH (MRS-GARCH) models. These models allow volatility to have different dynamics according to unobserved regime variables. The main purpose of this paper is to find out whether MRS-GARCH models are an improvement on the GARCH type models in terms of modeling and forecasting gold price volatility. The MRS-GARCH is best performance model for gold price volatility in some loss function. Moreover, we forecast closing prices of gold price to trade future contract. MRS-GARCH got the most cumulative return same GJR model.
%K Forecasting
%K Volatility
%K Gold Price
%K Markov Regime Switching
%U http://www.scirp.org/journal/PaperInformation.aspx?PaperID=17610