Gold Prices Volatility among Major Events and During the Current COVID-19 Outbreak

摘要

This paper investigates the volatility of the gold spot and futures prices amid majorinternational events for a sample period from January 1, 1979 to March 27, 2020.Events affecting gold price volatility were selected using the Bai–Perron structuralbreak test. The results of the GARCH and T-GARCH modelling frameworks revealthat the returns series for the gold spot and futures demonstrate greater volatilityspikes during the 1987 stock market crash, the first Gulf War, the 2001 terroristattacks, and the COVID-19 outbreak. Conversely, for the Asian and global financialcrises, the volatility in gold spot and futures prices show a high level of persistence.The results during the COVID-19 outbreak confirm investors’ view of gold as asafe-haven asset during periods of great uncertainty.