Article1993

Do Gold Market Returns Have Long Memory?

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Complex Systems and Time Series Analysis Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

Abstract

Abstract This study examines the long memory behavior in gold returns during the post‐Bretton Woods period using a new rescaled range technique. Unlike the conventional rescaled range analysis, the new rescaled range analysis is robust to short‐term dependence and conditional heteroscedasticity found in the gold data. Statistical results suggest that the long memory behavior in gold returns is rather unstable. When only few observations corresponding to major political events in the Middle East, together with the Hunts event, in late 1979 are omitted, little evidence of long memory can be found.

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References

1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING 1988Permanent and Temporary Components of Stock Prices 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return 1988Mean reversion in stock prices

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