Volatility in the Gold Futures Market

Jonathan Batten and Brian 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)
Date: 2007-06-25
New Economics Papers: this item is included in nep-fmk and nep-mst
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Journal Article: Volatility in the gold futures market (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:iis:dispap:iiisdp225

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