Question 13.13

13.13 Gold prices.

Consider the monthly data on the price of gold ($ per troy ounce) from January 2000 to July 2014.8

gprice

  1. Test the randomness of the index series. What do you conclude?
  2. Obtain the first differences for the series and plot these differences over time. What do you observe?
  3. Take the log of the gold prices and then take their first differences. What do these differences approximate?
  4. Plot the differences of the logged prices over time. Describe what you observe with this plot in comparison to the plot from part (b).

13.13

(a) The Runs Test and the ACF show the price of gold series is not random. (b) The variation of the price changes for gold is increasing with time. (c) These differences approximate the percent change in the price of gold. (d) The first differences of the log price data show much more constant variance than the original differences.