During a health crisis should you invest in gold or oil?

This paper investigates the volatility behavior of gold and oil prices during the Covid-19 pandemic using advanced econometric models, including the autoregressive integrated moving average (ARIMA), autoregressive conditional heteroscedasticity (ARCH), generalized ARCH (GARCH), exponential GARCH and threshold GARCH. Covering the period from January 9, 2019, to December 9, 2022, the study explores how these commodities responded to heightened global uncertainty. The results show that gold, unlike oil, consistently acted as a safe-haven asset, preserving value during market disruptions caused by geopolitical tensions, economic shocks and the health crisis. Our findings reveal a strong interdependence between gold and oil, with gold serving as a hedge against oil price volatility. A diversified portfolio including both assets proved more resilient than one reliant on either commodity alone. Volatility models also underscore gold’s role as a hedge against geopolitical risk, enhancing its value for portfolio diversification. However, the quality of data available during the pandemic may affect the precision of statistical inferences. Despite such constraints, the study has practical implications. Investors are encouraged to increase gold exposure during volatile periods, while policy makers could monitor gold prices as indicators of systemic risk. Overall, gold emerges as both a resilient investment and a strategic indicator during a global crisis.