Implementing the Decomposition Model in Gold Price Volatility Analyzing, Forecasting and Trading

摘要

Over the last several decades, investment demand for gold has significantlyincreased, playing a critical role inthe determination of gold's price. This study intends to extend the research on current price oscillationsby applying an econometric techniqueEnsemble Empirical Mode Decomposition (EEMD) which helps sorting out the short- and long-termeffectsof gold price changes. In so doing, highlight the ETFs contribution to the explanation of the recent price volatility. In addition and based on the statistical criterion of MSE, RMSE, and SMAPEwe show that gold price forecasts obtained with the EEMD are more accurate. We show,using weekly and monthly data, that machine learning models (Multi Layer Perceptrons, Extreme....