Statistical analysis of daily gold price data

This paper investigates the statistical behaviour of daily gold price data from 1971 to 2002. We find that the observations are characterised by short run persistence and scaling with a break point of 15 days, i.e., three working weeks. Daily returns are highly leptokurtic, with multi-period returns only recovering Gaussianity after 235 days (approximately eleven working months). Volatility also scales, with long-run correlations being particularly important.