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College of Service Business , Sokolac - East Sarajevo , Bosnia and Herzegovina
College of Service Business , Sokolac - East Sarajevo , Bosnia and Herzegovina
Due to the consequences caused by the crisis of the COVID-19 virus pandemic (interrupted supply chains), energy crisis, geopolitical crisis (war conflicts between Russia and Ukraine) resulting in high inflation, the working paper analyzes, tests and quantifies the impact of gold price movements on daily rates of return from investment activities on the observed financial markets of America, Europe and China. The aim of the working paper is to arrive at concrete, practically tested and quantified results through the application of multivariate GARCH models in the function of quantifying the impact of the gold price on the yield rates of the observed financial markets. Investing in gold represents an alternative to investing in currencies (currency pairs) and financial instruments on the financial markets. The time period of the research is from 2012 to 2023, where the effectiveness of the application of the multivariate GARCH methodology is tested in the period before the COVID-19 crisis, during and after the crisis. The research methodology includes the use of SIC (Schwarz) information criteria for selecting optimal models. The results of the working paper confirm the significance of the application of econometric multivariate GARCH models in terms of quantifying the impact of the gold price on the daily rates of return from investment activities on the observed financial markets. The obtained research results will be useful both to the academic community for further research in the field, and to the professional in terms of making optimal investment decisions.
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