Volatility in Gold Price Returns: An Investigation from International Market

Journal of Commerce, Management and Social Science, 1(2), 195-207

17 Pages Posted: 16 Sep 2013

See all articles by Nawaz Ahmad

Nawaz Ahmad

RTS (Research, Trainings, and Solutions); Institute of Business Management (IoBM)

Moomal Sara

Greenwich University Karachi

Date Written: April 4, 2012

Abstract

The research was conducted in order to study the volatility in gold price returns and its investigation. The data has been collected on daily basis for the tenure of a couple of years starting from 1st January 2009 to 31st September 2011. The models used to run the data are: standard deviation as a Descriptive Model, and GARCH as an Econometric Model. The results investigate volatility. Econometrically speaking, an unequal spread of residuals is referred as heteroskedasticity. In this research, a fast mean reversion has been observed showing that the alpha and beta are far from 1. Based on results it was concluded that there has been volatility in gold prices.

Keywords: Gold price returns, Volatility, GARCH model

JEL Classification: C12, C22, G12

Suggested Citation

Ahmad, Nawaz and Sara, Moomal, Volatility in Gold Price Returns: An Investigation from International Market (April 4, 2012). Journal of Commerce, Management and Social Science, 1(2), 195-207. Available at SSRN: https://ssrn.com/abstract=2326386

Nawaz Ahmad (Contact Author)

RTS (Research, Trainings, and Solutions) ( email )

9th Nishat Lane, DHA 6
9th Nishat Lane, DHA 6
Karachi, Sindh 75500
Pakistan
00923009292422 (Phone)

Institute of Business Management (IoBM) ( email )

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Korangi Creek
Karachi, Sindh 75190
Pakistan

HOME PAGE: http://www.faculty.iobm.edu.pk/staff/nawaz-ahmad/

Moomal Sara

Greenwich University Karachi ( email )

Karachi, Sindh
Pakistan

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