Persistent dependence in gold prices

The purpose of this paper is to analyze the behavior of gold prices during the last dozen years. Instead of employing the traditional short‐term analytical tools, however, rescaled range analysis is used to focus on what has become known as persistent or long‐term dependence. This type of behavior reveals itself in the form of extensive periods of similar behavior, often described as nonperiodic cycles. It is found that gold prices do exhibit persistent dependence. This finding suggests that, to be successful, market participants must develop strategies to deal with this phenomenon.