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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

Price of Gold and US Dollar Index

Dwarakamayi Polakam

Jennifer Griffeth

Ashley Arlotti

Rui Feng

Ying Fan

Qi He

Qi Li

Group CPresentation

overview

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

part 1 us dollar index

Part 1: US Dollar Index

The First Model: DLNDOLLAR

1 1 analysis of dollarindex3
1.1 Analysis of DOLLARINDEX
  • (4) Unit Root Test
1 2 analysis of dlndollar3
1.2 Analysis of DLNDOLLAR
  • (4) Unit Root Test
1 3 ar 1 ar 2 model
1.3 AR(1), AR(2) Model
  • (1) Add AR(1) and AR(2)
1 3 ar 1 ar 2 model1
1.3 AR(1), AR(2) Model
  • (2a) Diagnostic - Actual, fitted and residual
1 3 ar 1 ar 2 model2
1.3 AR(1), AR(2) Model
  • (2b) Diagnostic - Correlogram of residuals
1 3 ar 1 ar 2 model3
1.3 AR(1), AR(2) Model
  • (2c) Diagnostic - Histogram of residuals
1 3 ar 1 ar 2 model4
1.3 AR(1), AR(2) Model
  • (2d) Diagnostic - Serial Correlation test on residuals
1 3 ar 1 ar 2 model5
1.3 AR(1), AR(2) Model
  • (2e) Diagnostic - Correlogram of residual squared
1 3 ar 1 ar 2 model6
1.3 AR(1), AR(2) Model
  • (2f) Diagnostic - Heteroskedasticity test
1 4 forecasting
1.4 Forecasting
  • (1) Confidence Interval of Two Standard Error
1 4 forecasting1
1.4 Forecasting
  • (2) Forecast for Next Eight Months
part 2 price of gold

Part 2: Price of Gold

The Second Model: DLNGOLD

2 1 analysis of gold2
2.1 Analysis of GOLD
  • (3) Correlogram
2 1 analysis of gold3
2.1 Analysis of GOLD
  • (4) Unit Root Test
2 2 analysis of dlngold3
2.2 Analysis of DLNGOLD
  • (4) Unit Root Test
2 3 ar 1 ar 2 ar 7 ar 8 ar 11 and ar 18 model
2.3 AR(1) , AR(2), AR(7), AR(8), AR(11) and AR(18) Model
  • (1) AIC, SIC, etc for Different Models
2 3 ar 1 ar 2 ar 7 ar 8 ar 11 and ar 18 model1
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)
2 3 ar 1 ar 2 ar 7 ar 8 ar 11 and ar 18 model2
2.3 AR(1) , AR(2), AR(7), AR(8), AR(11) and AR(18) Model
  • (3a) Diagnostic - Actual, fitted and residual
2 3 ar 1 ar 2 ar 7 ar 8 ar 11 and ar 18 model3
2.3 AR(1) , AR(2), AR(7), AR(8), AR(11) and AR(18) Model
  • (3b) Diagnostic - Correlogram of residuals
2 3 ar 1 ar 2 ar 7 ar 8 ar 11 and ar 18 model4
2.3 AR(1) , AR(2), AR(7), AR(8), AR(11) and AR(18) Model
  • (3c) Diagnostic - Histogram of residuals
2 3 ar 1 ar 2 ar 7 ar 8 ar 11 and ar 18 model5
2.3 AR(1) , AR(2), AR(7), AR(8), AR(11) and AR(18) Model
  • (3d) Diagnostic - Serial Correlation test on residuals
2 3 ar 1 ar 2 ar 7 ar 8 ar 11 and ar 18 model6
2.3 AR(1) , AR(2), AR(7), AR(8), AR(11) and AR(18) Model
  • (3e) Diagnostic - Correlogram of residual squared
2 3 ar 1 ar 2 ar 7 ar 8 ar 11 and ar 18 model7
2.3 AR(1) , AR(2), AR(7), AR(8), AR(11) and AR(18) Model
  • (3f) Diagnostic - Heteroskedasticity test
2 4 garch model
2.4GARCH Model
  • (1) Add GARCH
2 4 garch model1
2.4GARCH Model
  • (2a) Diagnostic - Correlogram of residuals
2 4 garch model2
2.4GARCH Model
  • (2b) Diagnostic - Histogram of residuals
2 4 garch model3
2.4GARCH Model
  • (2c) Diagnostic - Correlogram of residual squared
2 4 garch model4
2.4GARCH Model
  • (2d) Diagnostic - Heteroskedasticity test
2 5 forecasting
2.5 Forecasting
  • (1) Confidence Interval of Two Standard Error
2 5 forecasting1
2.5 Forecasting
  • (2) Forecast for Next Eight Months
3 2 analysis of w and resm
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)

3 2 analysis of w and resm1
3.2 Analysis of w and resm
  • (2a) Analysis of w and resm
3 2 analysis of w and resm2
3.2 Analysis of w and resm
  • (2b) Analysis of w and resm with AR terms
3 2 analysis of w and resm3
3.2 Analysis of w and resm
  • (3a) Diagnostic - Actual, fitted and residual
3 2 analysis of w and resm4
3.2 Analysis of w and resm
  • (3b) Diagnostic - Correlogram of residuals
3 2 analysis of w and resm5
3.2 Analysis of w and resm
  • (3c) Diagnostic - Serial Correlation test on residuals
3 2 analysis of w and resm6
3.2 Analysis of w and resm
  • (3d) Diagnostic - Heteroskedasticity test
3 3 analysis of dlngold and dlndollar
3.3 Analysis of DLNGOLD and DLNDOLLAR
  • (1) Analysis of DLNGOLD and DLNDOLLAR
3 3 analysis of dlngold and dlndollar1
3.3 Analysis of DLNGOLD and DLNDOLLAR
  • (2a) Diagnostic - Actual, fitted and residual
3 3 analysis of dlngold and dlndollar2
3.3 Analysis of DLNGOLD and DLNDOLLAR
  • (2b) Diagnostic - Correlogram of residuals
3 3 analysis of dlngold and dlndollar3
3.3 Analysis of DLNGOLD and DLNDOLLAR
  • (2c) Diagnostic - Serial Correlation test on residuals
3 3 analysis of dlngold and dlndollar4
3.3 Analysis of DLNGOLD and DLNDOLLAR
  • (2d) Diagnostic - Heteroskedasticity test
3 5 var analysis
3.5 VAR Analysis
  • (1a) VAR Analysis
3 5 var analysis1
3.5 VAR Analysis
  • (1a) Impulse Analysis
3 5 var analysis2
3.5 VAR Analysis
  • (1b) VAR Analysis