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
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: Suggested Citation