The Long-Term Relationship between Nasdaq Index and Gold Yield: Analysis Based on ARMAX Model

Abstract

This article explores the relationship between the gold yield and the Nasdaq index through a detailed understanding of the gold yield and the changes in the Nasdaq index in the past ten years. Will the gold yield be affected by the Nasdaq index, whether there is a correlation between the two, and whether the gold price can be predicted based on the Nasdaq index. In this paper, the ARMA model is used to rank the gold return rate, and four models are used, namely the gold return rate, the gold return rate plus the Nasdaq index, the gold return rate plus the Nasdaq index lagging 1 period and lagging 2 Period to analyze and finally explore the relationship between the two. This paper mainly finds that the return rate of gold is positively correlated with the Nasdaq index, but the prediction efficiency of the model is low. Gold is an effective return to crisis industries. When the stock market is not friendly, gold can play a very good hedging role. This article uses the influential and extensive data of the Nasdaq index to let everyone know how to analyze the yield of gold through existing data. In short, it is when to buy and sell gold. This paper suggests that although the model shows that the prediction effect of the Nasdaq index on the gold return rate is not significant, the two show a positive correlation, and it has a significant effect in the lag period 1 and 2. It is recommended to use the Nasdaq index Investors who watch gold yields give priority to watching lag 1.