An empirical study in the relationship between crude oil and gold futures

Abstract

This paper analyzes the relationship between crude oil and gold futures. The data used in this paper are from January 2000 to December 2012. The methodology used in this study includes several statistical tests including GARCH and TGARCH models. The results imply that the prices of crude oil and gold are highly correlated. However, the returns of the two commodities are not obviously correlated. On the other hand, the volatility of crude oil price return has an effect on the volatility of gold price returns.