GARCH modeling and risk Measurement of gold price fluctuations combining the US dollar index, Treasury bond yields and crude oil prices: Data from the past five years

Xi ‘an University of Posts & Telecommunications, No. 563, Chang ‘an South Road, Xi ‘an, Shaanxi Province, China

^* Corresponding author: Qzy0428Dylan@stu.xupt.edu.cn

Abstract

Against the backdrop of increasing global economic uncertainties, the value of gold as a safe-haven asset has been prominently emphasized. As an important means for investors to preserve and increase the value of their assets, its price fluctuations have also attracted widespread attention. Accurate prediction of gold price risks is of vital importance for investors’ decision-making and market supervision. This study is based on the gold price data of the past five years and uses the GARCH model to simulate its price fluctuations and predict risks. By constructing the GARCH (1,1) model, incorporating the US dollar index, Treasury bond yields and crude oil prices into the gold modeling, a three-dimensional analysis framework was constructed. The clustering and persistence characteristics of gold price fluctuations were analyzed, and the risks were quantified using the VAR method to predict the risk direction of the gold market in advance. The subsequent content will successively elaborate in detail on data selection and processing, model construction and estimation, empirical result analysis and research conclusions, providing scientific decision-making references for participants in the gold market.