Estimation of gold price volatility. An empirical analysis using logarithmic returns and historical volatility
DOI:
https://doi.org/10.68061/3r97vs55Keywords:
gold price, volatility, log returns, safe-haven assets, financial marketsAbstract
Gold has historically been regarded as a safe-haven asset against financial uncertainty, inflation, and exchange rate volatility. Nevertheless, its price dynamics exhibit recurrent episodes of high volatility associated with macroeconomic, financial, and geopolitical shocks. This paper aims to estimate and analyze gold price volatility using historical data through log returns and annualized historical volatility measures. Based on a real dataset of gold prices, descriptive statistics, returns, and volatility indicators are computed and economically interpreted. The results reveal fat tails, asymmetries, and volatility persistence, supporting the strategic role of gold while highlighting its inherent risk. This study contributes to the literature by providing a clear, replicable empirical framework oriented toward financial decision-making.
References
Arouri, M., Lahiani, A., & Nguyen, D. (2015). World gold prices and stock returns in China. Journal of Empirical Finance, 21, 1–18.
Baur, D. G., & McDermott, T. K. (2010). Is gold a safe haven? Journal of Banking & Finance, 34(8), 1886–1898.
Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307–327.
Choudhry, T. (1996). Stock market volatility and the crash of 1987. Journal of Finance, 51(3), 879–902.
Engle, R. F. (1982). Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007.
Engle, R. F. (2002). Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business & Economic Statistics, 20(3), 339–350.
Hammoudeh, S., & Yuan, Y. (2008). Metal volatility in the presence of oil and interest rate shocks. Energy Economics, 30(2), 606–620.
Hull, J. (2018). Options, futures, and other derivatives (10th ed.). Pearson.
Mensi, W., Hammoudeh, S., Reboredo, J. C., & Nguyen, D. K. (2013). Dynamic spillovers among gold, oil, and stock markets. Energy Economics, 40, 190–201.
Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370.
Pukthuanthong, K., & Roll, R. (2011). Gold and the dollar (and the euro, pound, and yen). Journal of Banking & Finance, 35(8), 2070–2083.
Reboredo, J. C. (2013). Is gold a safe haven or a hedge? Journal of Banking & Finance, 37(8), 2665–2676.
Tsay, R. S. (2010). Analysis of financial time series (3rd ed.). Wiley.
