This repository contains a research paper I completed for my Time Series Econometrics class. It is about examining, modeling, and forecasting gold futures contract prices using the tools learned for time series data. In order for the do file to work the path to the data, fredgraph.csv, must be updated to its path on ones local machine. The Dp file can be viewed and edited y the Stata software.
Abstract: This paper explores both a univariate (ARIMA) and multivariate (VAR) model to explore gold futures contract prices. This research uses the differentiated series of gold futures as the stationary series of gold futures. In conclusion, an ARIMA(0,1,1) model best describes the process of gold futures. This implies a momentum to the price of gold futures. The relations of inflation and volatility on gold futures, with one lag is examined. It is concluded that, on average, a standard deviation increase in inflation increases the change in gold futures prices to be about 4 USD per Troy Ounce, and that, on average, a standard deviation increase in volatility increases gold futures prices by 10 USD per Troy Ounce. The effects of changes in gold itself contribute much more to the changes in gold prices than volatility or inflation, with volatility contributing more than inflation.