Volatility in the gold futures market
AbstractWe investigate the volatility structure of gold, trading as a futures contract on the Chicago Board of Trade 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.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics Letters.
Volume (Year): 17 (2010)
Issue (Month): 2 ()
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Other versions of this item:
- Jonathan A. Batten & Brian M. Lucey, 2007. "Volatility in the Gold Futures Market," The Institute for International Integration Studies Discussion Paper Series iiisdp225, IIIS.
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- Shawkat Hammoudeh & Farooq Malik & Michael McAleer, 2010.
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