Modeling Volatility of Gold Futures Market in Iran by Switching GARCH Models

This paper analyzes volatility states of the gold futures in Iran. we apply a two-regime Markov-switching GARCH model which enables us to estimate complex functional GARCH specifications within each regime. We analyze the volatility structure of the daily returns sampled from the gold futures market between 26 March 2009 and 27 May 2013. We find that the gold futures market is relatively not stable and different states will switch very often. This is consistent with our expectation of the futures market. The gold futures market is like the stock market that volatility states changes frequently.