Volatility in the Gold Futures Market

14 Pages Posted: 25 Jun 2007

See all articles by Jonathan A. Batten

Jonathan A. Batten

Universiti Utara Malaysia

Brian M. Lucey

Trinity Business School, Trinity College Dublin; University of Sydney Business School; University of Economics Ho Chi Minh City

Date Written: June 2007

Abstract

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.

Keywords: Gold, volatility, intraday, GARCH

JEL Classification: C22, C32, E31, F31

Suggested Citation

Batten, Jonathan A. and Lucey, Brian M., Volatility in the Gold Futures Market (June 2007). Available at SSRN: https://ssrn.com/abstract=996235 or http://dx.doi.org/10.2139/ssrn.996235

Jonathan A. Batten

Universiti Utara Malaysia ( email )

School of Economics, Finance and Banking
Sintok, Kedah 06010
Malaysia

Brian M. Lucey (Contact Author)

Trinity Business School, Trinity College Dublin ( email )

The Sutherland Centre, Level 6, Arts Building
Dublin 2
Ireland
+353 1 608 1552 (Phone)
+353 1 679 9503 (Fax)

University of Sydney Business School ( email )

Cnr. of Codrington and Rose Streets
Sydney, NSW 2006
Australia

University of Economics Ho Chi Minh City ( email )

59C Nguyen D├Čnh Chieu
6th Ward, District 3
Ho Chi Minh City, Ho Chi Minh 70000
Vietnam

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