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Gold Prices Volatility among Major Events and During the Current COVID-19 Outbreak

Rim Ammar Lamouchi and Roaa Osama Badkook

Journal of Statistical and Econometric Methods, 2020, vol. 9, issue 4, 4

Abstract: This paper investigates the volatility of the gold spot and futures prices amid major international events for a sample period from January 1, 1979 to March 27, 2020. Events affecting gold price volatility were selected using the Bai–Perron structural break test. The results of the GARCH and T-GARCH modelling frameworks reveal that the returns series for the gold spot and futures demonstrate greater volatility spikes during the 1987 stock market crash, the first Gulf War, the 2001 terrorist attacks, and the COVID-19 outbreak. Conversely, for the Asian and global financial crises, the volatility in gold spot and futures prices show a high level of persistence. The results during the COVID-19 outbreak confirm investors’ view of gold as a safe-haven asset during periods of great uncertainty. Keywords: Gold prices, Volatility, Crises, COVID-19 outbreak.

Date: 2020
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Handle: RePEc:spt:stecon:v:9:y:2020:i:4:f:9_4_4