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

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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...

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Bibliographic Details
Main Authors:	Smales, Lee, O'Grady, B., Yang, Y.
Format:	Journal Article
Published:	Routledge 2015
Subjects:	VAR-GARCH gold futures COMEX macroeconomic announcements high-frequency
Online Access:	http://hdl.handle.net/20.500.11937/28039

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