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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


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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