Structural analysis and forecast of gold price returns

• 作者: Jian Chai Chenyu Zhao Yi Hu Zhe George Zhang
• 来源期刊: 管理科学学报（英文版）
• 年，卷（期）: 2021,（2）
• 页码范围: 135-145
• 页数: 11页
• 语种: 英文

摘要

Gold has multiple attributes and its price is affected by various factors in the market.This paper studies the dynamic relationship between the gold price returns and its affecting factors.Then we use the STL-ETS,neural network and Bayesian structural time series model to predict the gold price returns,and compare their performance with the benchmark models.The results show that the shocks of crude oil returns and VIX have the positive effect on gold price returns,the shocks of the US dollar index have the negative effect on gold price returns.And the fluctuation of gold price returns mainly depends on crude oil price returns shocks.STL-ETS model can accurately fit the fluctuation trend of the gold price returns and improve prediction accuracy.