Gold Price Volatility in the 20th century

Monitoring volatility

Monitoring volatility requires a moving series of daily fluctuations on which the standard deviation is calculated. We use a 21 trading day period for this, which generally corresponds to one month’s data. The volatility measure was annualized. 

In order for the graphs to show better detail, the period covered was split. The graphs in the main article cover the 21^st century.  We now look further back towards the early 1970's when the gold convertibility of the USD was revoked. There are monthly averages for 1970 till 1972 and daily data from 1973 onward. Hence, volatility only is calculated from 1973.

Back to the epic days of the 20th century

As an illustration and in order to compare the 21st century gyrations of the gold price to those several decades ago, you find below the gold price and its volatility during the 1970's (1970-78) and during the 1980's (1979-1989). The graphs are split at year end 1978 in order to avoid the hectic January 1980 days occurring at the very left of the graph.

Fig 1: Gold price in USD/Oz (monthly observations from Jan 1970 till Dec 1972 and daily from Jan 1973 onward). Annualized volatility in percentage on the right scale. (click to enlarge)

The 1972-1974 gold rally makes volatility rise as does the short cyclical gold bear towards the end of 1976.  If a volatility scale leading limited at 60% is sufficient for the 21st century (and only 45% for the last few gold bear years), we need to extend that volatility scale to 70% on the first 1970's graph. Volatility even spiked to 115% in January 1980 !

Fig 2: Gold price (USD/Oz): the blue graph on the left axis; Volatility of the gold price: the red graph on the right axis. Gold price daily observations from Jan 1979 onward till Jan 1989. Annualized volatility in percentage (click to enlarge)

Volatility dropped during the latter half of the 1980's and was to remain low for most of the next decade.

Back to the main article on volatility of the gold price (1973-2017)