Volatility in the Gold Futures Market
Jonathan A. Batten
Hong Kong University of Science & Technology (HKUST) - Department of Finance
Brian M. Lucey
Trinity College, Dublin - School of Business; University of Dublin - Institute for International Integration Studies (IIIS); Glasgow Caledonian University - Division of Accounting & Finance
We investigate the volatility structure of gold, trading as a futures contract on the Chicago Board of Trade (CBOT) using intraday (high frequency) data from January 1999 to December 2005. Apart from investigating the now familiar GARCH properties we also utilize a rarely used measure of volatility - the Garman Klass estimator - to provide new insights in intraday and interday volatility. This nonparametric measure incorporates the open, close, high and low price within a particular time interval. Both sets of results suggest significant variation across the trading day and week consistent with microstructure theories, although volatility is only slightly positively correlated with volume when measured by tick-count.
Number of Pages in PDF File: 14
Keywords: Gold, volatility, intraday, GARCH
JEL Classification: C22, C32, E31, F31working papers series
Date posted: June 25, 2007
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