Modeling the Gold/Silver Ratio Using the Ornstein-Uhlenbeck Process: A Mean-Reversion Approach

Résumé fourni par la source

The Ornstein–Uhlenbeck (OU) process is employed in this study to model the Gold/Silver ratio due to its ability to capture mean-reversion behavior in time series dynamics. The ratio, calculated as the relative value of gold to silver, is widely regarded as a significant market indicator influenced by supply–demand conditions, investor sentiment, and broader financial developments. To examine its stochastic structure, the OU model parameters defined as mean-reversion speed (θ), long-term mean (μ), and volatility (σ) are estimated using data from January 2018 to September 2024. Model performance is assessed by comparing simulated paths with actual observations, demonstrating a strong fit and the ability to represent fluctuations in the ratio effectively. The results confirm that the OU process provides an appropriate and practical framework for analyzing mean reversion in the Gold/Silver ratio and offers useful implications for risk management and strategic decision-making in commodity markets.

Ce résumé expose les affirmations des auteurs. BNTIC ne l’interprète pas comme une validation indépendante des résultats.