Examining the impact of macroeconomic announcements on gold futures in a VAR-GARCH framework

Lee A. Smales, Barry O’Grady, Yi Yang

Research output: Contribution to journalArticle

Abstract

This article considers the impact of major scheduled US macroeconomic announcements on the COMEX gold futures market in a high-frequency setting. A VAR-GARCH framework identifies the significant relationship between the release of macroeconomic news and measures of market activity. There is a well-defined link between (higher) volatility, (higher) trading costs and (lower) transaction volume.

Original languageEnglish
Pages (from-to)710-716
Number of pages7
JournalApplied Economics Letters
Volume22
Issue number9
DOIs
Publication statusPublished - 1 Jan 2015
Externally publishedYes

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