نمذجة تقلبات أسعار الذهب : تجربة من الجزائر

Abstract EN

The aim of this study is to highlight the importance of ARCH models to model the fluctuations in the daily gold ounce prices in Algeria over the period of 1 January 2016 to 29 February 2020.

Due to the successive shocks, the empirical study concluded the presence heteroscedasticity problem.

To remedy this problem, we use the exponential models because the linearity and the symmetry hypotheses will be suppressed.

Therefore, the obtained results show that EGARCH(1, 1) is the optimal model.

Thus, the positive shocks associated with good news produce less severe fluctuations in the price of an ounce of gold in Algeria than those negative shocks associated with bad news.