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We extract low- and high-frequency volatility from China’s Shanghai gold futures market using an asymmetric Spline-GARCH (ASP-GARCH) model. We then regress monthly low-frequency volatility on selected monthly macroeconomic indicators to study the impact of macroeconomy on gold futures market and to test for excess volatility. Our main result is volatility in China’s Shanghai gold futures market resulting from both macroeconomic fluctuations and investor behaviour. Chinese Consumer Price Index Volatility and US dollar volatility are the two main determinants of low-frequency gold volatility. We also find significant evidence of excess volatility, which can in part be explained in terms of loss-aversive investor behaviour.

Low-Frequency Volatility in China’s Gold Futures Market and Its Macroeconomic Determinants