Examining the impact of macroeconomic announcements on gold futures in a VAR-GARCH framework
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-d...
| Main Authors: | , , |
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| Format: | Journal Article |
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Routledge
2015
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| Online Access: | http://hdl.handle.net/20.500.11937/28039 |
| _version_ | 1848752428986400768 |
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| author | Smales, Lee O'Grady, B. Yang, Y. |
| author_facet | Smales, Lee O'Grady, B. Yang, Y. |
| author_sort | Smales, Lee |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T08:08:28Z |
| format | Journal Article |
| id | curtin-20.500.11937-28039 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T08:08:28Z |
| publishDate | 2015 |
| publisher | Routledge |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-280392017-09-13T15:55:52Z Examining the impact of macroeconomic announcements on gold futures in a VAR-GARCH framework Smales, Lee O'Grady, B. Yang, Y. VAR-GARCH gold futures COMEX macroeconomic announcements high-frequency 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. 2015 Journal Article http://hdl.handle.net/20.500.11937/28039 10.1080/13504851.2014.972538 Routledge fulltext |
| spellingShingle | VAR-GARCH gold futures COMEX macroeconomic announcements high-frequency Smales, Lee O'Grady, B. Yang, Y. Examining the impact of macroeconomic announcements on gold futures in a VAR-GARCH framework |
| title | Examining the impact of macroeconomic announcements on gold futures in a VAR-GARCH framework |
| title_full | Examining the impact of macroeconomic announcements on gold futures in a VAR-GARCH framework |
| title_fullStr | Examining the impact of macroeconomic announcements on gold futures in a VAR-GARCH framework |
| title_full_unstemmed | Examining the impact of macroeconomic announcements on gold futures in a VAR-GARCH framework |
| title_short | Examining the impact of macroeconomic announcements on gold futures in a VAR-GARCH framework |
| title_sort | examining the impact of macroeconomic announcements on gold futures in a var-garch framework |
| topic | VAR-GARCH gold futures COMEX macroeconomic announcements high-frequency |
| url | http://hdl.handle.net/20.500.11937/28039 |