Examining the impact of macroeconomic announcements on gold futures in a VAR-GARCH framework

Lee Smales, Barry O'Grady and Yi Yang

Applied Economics Letters, 2015, vol. 22, issue 9, 710-716

Abstract: This article considers the impact of major scheduled US macroeconomic announcements on the COMEX gold futures market in a high-frequency setting. A VAR-GARCH framework identifies the significant relationship between the release of macroeconomic news and measures of market activity. There is a well-defined link between (higher) volatility, (higher) trading costs and (lower) transaction volume.

Date: 2015
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DOI: 10.1080/13504851.2014.972538

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