Abstract:Purpose
This study aims to investigate how the gold return and its volatility respond to the COVID-19 pandemic.
Design/methodology/approach
Stochastic volatility (SV) models are conducted to examine the response of gold to the number of new confirmed cases and deaths.
Findings
The results indicate that an increase in the change rate of the number of COVID-19 infections or fatalities leads to heightened volatility in gold prices. Moreover, the results suggest that gold volatility is more sensitive to the im… Show more
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