Statistical analysis of daily gold price data

Terence C. Mills

Physica A: Statistical Mechanics and its Applications, 2004, vol. 338, issue 3, 559-566

Abstract: This paper investigates the statistical behaviour of daily gold price data from 1971 to 2002. We find that the observations are characterised by short run persistence and scaling with a break point of 15 days, i.e., three working weeks. Daily returns are highly leptokurtic, with multi-period returns only recovering Gaussianity after 235 days (approximately eleven working months). Volatility also scales, with long-run correlations being particularly important.

Keywords: Econophysics; Gold price; Statistical finance; Persistence; Multi-scaling; Volatility (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:338:y:2004:i:3:p:559-566

DOI: 10.1016/j.physa.2004.03.003

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