Identifying the Inter-Dynamics Between Gold Prices of Turkey and Key Economic Indicators: An Application of Three Different Models

Abstract

In this study, we examine the comparison of three models (ARIMAX, GARCH, and NARX) based on their forecasts and find out the factors affecting the gold prices in the case of Turkey. For this, the monthly data from January 1997 to December 2021 have been used. This study provides evidence that NARX is the best model and ARIMAX is a better model for forecasting. This study also points out that the prices of other precious metals, i.e., platinum and silver, have a significantly positive relationship with the gold prices irrespective of the model. Moreover, on the basis of ARIMAX, Turkey’s XU (100) Stock Exchange closing price and Crude oil Brent Prices have a significant negative relationship with the gold prices.