1Assistant Professor, Department of Commerce, Guru Nanak Dev University College, Chungh, Tarn Taran, Punjab, India, Email id: manjindergndu@gmail.com
2Research Scholar, University School of Financial Studies, Guru Nanak Dev University, Amritsar, Punjab, India, Email id: navpreetkaur7005@gmail.com
Online published on 17 June, 2024.
The current paper attempts to examine the volatility of gold prices in India over the period January 1, 2011 to March 31, 2024 using GARCH model. To begin with, the existence of ARCH effect has been verified applying ARCH Lagrange Multiplier (LM) test of Heteroskedasticity. After confirming the ARCH effect, the volatility measure in gold prices has been captured using GARCH (1,1) model. The results bring out that there is persistence of frequent volatility shocks in the Indian gold prices and a shock that occurs at time t will persist for future periods. Furthermore, the existence of volatility clustering has been confirmed and approximately 85 percent of the volatility of the current day’s gold price is being contributed by the volatility of preceding day’s gold price. Thus, it can be concluded that variations in the gold prices have an impact on long-term estimations of gold price volatility.
Indian Gold Prices, Garch, Persistent Volatility, Volatility Clustering
