JSM 2005 Online Program

Abstract #303703

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Activity Number:	267
Type:	Contributed
Date/Time:	Tuesday, August 9, 2005 : 10:30 AM to 12:20 PM
Sponsor:	Business and Economics Statistics Section
Abstract - #303703
Title:	The Dynamics of the London Gold Fix Volatility: An APARCH Analysis
Author(s):	Stephen Pollard*+ and Giorgio Canarella
Companies:	California State University, Los Angeles and California State University, Los Angeles
Address:	5151 State University Dr, Los Angeles, CA, 90032, United States
Keywords:	APARCH ; Gold ; Volatility
Abstract:	In this paper, we analyze the applicability of the APARCH model (Ding, Granger, Engle 1993) to the London gold fix. The London gold fix is one of few markets characterized by a Walrasian tatonnemont trading mechanism. Market participants trade twice a day and transactions take place only when the market clears. We investigated the conditional volatility behavior of daytime and overnight returns under three alternative error distribution assumptions (normality, t distribution, GED distribution). The empirical results show the APARCH models estimated using leptokurtic distributions are superior to their counterparts estimated under normality; in addition, the optimal power transformation is remarkably similar across the two returns, irrespective of the error distributional assumptions. Finally, the findings provide strong evidence that in the London gold fix, market news has a strong asymmetric effect on volatility. Unlike results reported in the stock market literature, however, the findings indicate the conditional volatility in the London gold fix is impacted more by good news than bad.

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