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BUSINESS AND ECONOMICS RESEARCH JOURNAL

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Article Information
Journal: Business and Economics Research Journal
Title of Article: Analysis of Volatility in Gold Prices with the Markov Regime-Switching Models
Author(s): Samet Evci, Nazan Şak, Gökben Adana Karaağaç
Volume: 7
Number: 4
Year: 2016
Page: 67-77
ISSN: 1309-2448
DOI Number: 10.20409/berj.2016422339
Abstract
Aim of this study is to determine winning and losing periods with Markov regime-switching models in the gold market. Monthly return data of BIST and London gold markets are used for the period July 1995-July 2015. Results show that Markov regime-switching models are more suitable than the linear model for analyzing the gold returns and also the probabilities of remaining within the same regime are high for the gold returns. Another finding is that two months lagged value of London gold returns affect BIST gold returns.

Keywords: Gold Price, Markov Regime-Switching Models, Time Varying Markov Regime-Switching Models, Turkey

JEL Classification: C22, G11, 050

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