علاقة أسعار النفط بالدولار و الذهب في الأسواق العالمية باستخدام نموذج الانحدار الذاتي المعمم المشروط بعدم تبات التباين الفترة 2017-2022

Abstract

This study aims to provide an analysis of the nature of the relationship that exists between oil prices and gold prices, as well as the exchange rate of the US dollar, through the use of a generalized autoregressive model conditioned by the presence of heterogeneity of error variances (GRACH) During the period from (April 2017 to April 2022), so that daily data was used, and the problem of the study was to identify the effectiveness of (GRACH) models in modeling the relationship between oil, gold and dollar prices in global markets, and the study followed the standard descriptive approach to study The relationship between oil prices, the dollar and gold, where we found through this study that the conditional autoregressive model can explain the instability of the generalized variance, to explain the behavior of the relationship between oil prices and the price of gold, and the exchange rate of the US dollar in global markets