Modelling Malaysian gold using symmetric and asymmetric GARCH models

Abstract

The purpose of the current study is to model Malaysian gold prices, known as Kijang Emas, using a popular class of generalized econometric models called Generalized Autoregressive Conditional Heteroskedasticity (GARCH) and three of its variants. The variant models selected are GARCH in the mean (GARCH-M), Threshold GARCH (TGARCH) and Exponential GARCH (EGARCH). While the standard GARCH and GARCH-M are symmetric models, TGARCH and EGARCH are asymmetric. Using Akaike Information Criterion (AIC) and Schwarz Information Criterion (SIC) as model selection criteria, the best fit model for modelling Malaysian gold is TGARCH.