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Advances in Continuous and Discrete Models

Theory and Modern Applications

Table 1 Descriptive statistics of the daily gold spot price, its natural logarithm, and its logarithm returns. Source: Data from Bloomberg XAUUSD

From: Calibration of the exponential Ornstein–Uhlenbeck process when spot prices are visible through the maximum log-likelihood method. Example with gold prices

Daily

Standard Spot Price

Natural Logarithm

Logarithm return

Mean

577.27

6.14

0.02%

Standard deviation

416.02

0.65

1.23%

Skewness

1.30

0.38

0.02

Kurtosis

3.46

2.56

14.45

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