The main purpose of the study is to investigate the volatility spillover effect of the measurable risk perception of gold on gold prices. In this context, gold risk, gold spot and gold futures indices were used in the study. In the study, using the data of 16.03.2011-03.09.2021, the volatility spread of the gold risk factor on gold prices was examined with the help of the (Dynamic Conditional Correlations) DCC-GARCH model. The DCC-GARCH model is a powerful model because it provides information

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... bout the volatility of financial assets as well as explains the volatility interaction between financial assets. As a result of the analysis, it has been determined that the volatility of gold risk, gold spot and gold futures variables is permanent. There is a one-way volatility interaction from gold risk to gold spot and gold futures. In addition, it has been determined that there is a mutual volatility spread between gold spot and gold futures. According to the results obtained, it has been determined that the gold risk has an effect on the returns of the gold spot and gold futures markets. Another result obtained in the study is that the returns of gold spot and gold futures markets are integrated with each other.