Gold futures thrive on volatility, while crude oil futures face turbulence.
The study looked at how the prices and volatility of gold and crude oil futures are related. They found that in the gold market, when prices go up, volatility also goes up. But in the crude oil market, when prices go up, volatility goes down. This happens more during times of high market uncertainty. They also found that when futures prices are lower than expected, there is a positive relationship between returns and volatility.