Impact of COVID-19 Pandemic on Gold Price Volatility: Evidence from Indian Gold Market

The outbreak of COVID-19 had an adverse impact on the stock markets across the globe. Indian financial market has also witnessed a major setback with fall in the value of the investor?s holdings. Gold has always been considered as the safe heaven for investment even in the times of crisis. With this idea, the paper aims to identify the impact of COVID-19 pandemic on Gold Price Returns in Indian Market. The study takes into account the daily closing Gold Price data from 1st July 2019 to 31st August 2020 in order to compare the Pre-COVID and During-COVID Gold Price and to assess the impact of COVID 19 on Gold Price fluctuations. The study used GARCH (1,1) Approach to estimate volatility due to COVID. The results revealed that there is a higher persistence of volatility shock/ volatility clustering in gold price return during COVID-19 Pandemic.