Volatility in the Gold Futures Market

Jonathan Andrew Batten () and Brian M. Lucey ()

The Institute for International Integration Studies Discussion Paper Series from IIIS

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: Garman Klass estimator; volatility; gold; intraday patterns; futures (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fmk and nep-mst
Date: 2007-06-25
Note: Length:

Downloads: (external link)
http://www.tcd.ie/iiis/documents/discussion/pdfs/iiisdp225.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:iis:dispap:iiisdp225

Access Statistics for this paper

More papers in The Institute for International Integration Studies Discussion Paper Series from IIIS
Address: 01
Contact information at EDIRC.
Series data maintained by Eva Mateo ().