Analysis of Gold Price Volatility in Thailand Using GARCH Model: Empirical Evidence from Thai Gold Market in the Post-Covid-19
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Abstract
This study aimed to analyze the volatility of gold prices in Thailand after the COVID-19 outbreak using the GARCH (1,1) model with 2 years and 8 months of daily gold price data. The results showed that the volatility of Thai gold prices was highly persistent, with a β value of 0.764646 and the sum of α and β of 0.987376, indicating the presence of a long memory in volatility. The GARCH (1,1) model efficiently captured the dynamics of volatility, with no significant evidence of autocorrelation in the residuals. The forecast showed a slight increase in volatility in the short term, reflecting that the model predicts low volatility levels in the Thai gold market, suggesting minimal changes in returns, which aligns with the Efficient Market Hypothesis stating that current prices reflect all available information. The results of this study have important implications for investment decisions and policy making related to the Thai gold market in the post-COVID-19 era, highlighting key factors to consider including exchange rates, stock market indices, and global gold prices, which affect the analysis and forecasting of gold price volatility in Thailand.
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References
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