analysis of the effect of macroeconomic variables on fluctuation of future gold market in iran

The future value of gold coins has received much attention in theworld for its risk-taking function. the introduction of this tool intothe iranian financial market was not initially welcomed, but overtime it was welcomed by investors in the futures market.therefore, the volatility of gold coin futures trading and itsinfluencing factors is important. in this study, the effect ofmacroeconomic variables affecting the volatility of gold coinfutures trading is with garch midas model investigated.therefore, in this study, the effect of selected macroeconomicvariables (inflation, exchange rate, oil price and liquidity) andchanges of each of these variables have been investigated onfuture gold market in iran during the period of 2009-2017. in orderto estimate the model, the effect of each of the variables on thegold coin futures fluctuations is first investigated individually.then, using the principal component analysis, the macro variablesindex was extracted and estimated in the model. the resultsindicate a significant effect of macro variables on the futurefluctuation of gold coins. rising inflation and rising oil prices leadto a long-term component of the currency and the exchange ratewill reduce the volatility of gold coin futures.