TY - JOUR
T1 - Volatility in the gold futures market
AU - Batten, Jonathan Andrew
AU - Lucey, Brian M.
PY - 2010/2
Y1 - 2010/2
N2 - We 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.
AB - We 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.
UR - http://www.scopus.com/inward/record.url?scp=70949089434&partnerID=8YFLogxK
U2 - 10.1080/13504850701719991
DO - 10.1080/13504850701719991
M3 - Article
AN - SCOPUS:70949089434
SN - 1350-4851
VL - 17
SP - 187
EP - 190
JO - Applied Economics Letters
JF - Applied Economics Letters
IS - 2
ER -