Student, School of Economics, University of Hyderabad, India
The main objective of this paper is to analyze the presence of long memory in the volatility in the Indian gold prices as well as returns. By employing five different measures of long memory, testing for long term dependence in two unconditional volatility series namely absolute returns and squared returns. Then testing for long memory in conditional volatility by employing a FIGARCH (1,d,0) model under three distributional assumptions, such as Normal, Student T and Skewed student T. The overall results confirm that the presence of a long memory dependence structure in both and conditional volatility series.
