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This study provides new insights into the recent time-varying pattern of gold volatility surrounding the Subprime Global Financial Crisis (GFC) 2008 with special emphasis given to small open economy of Malaysia. Using daily data of gold bullion Kijang Emas issued by the Bank Negara Malaysia from August 2005 till July 2018, the study modelled the gold volatility using different models of ARCH-GARCH family. Under the context of emerging economy, the study found significant enhanced gold volatility during the middle of GFC, signifying that gold price is highly sensitive to specific economic disturbance. Next, our result displayed inverted asymmetry effect where investors interpret gold as a safe-haven investment during good gold returns, hence contributed to enhanced gold volatility. Finally, bilateral exchange rate (MYR/USD) affected volatility with positive sign, indicating that gold investment could be adversely affected during the depreciation of the Malaysian Ringgit.

Modelling the Time-Varying Gold Price Volatility in Malaysia (2005 â€“ 2018)