Gold is a valuable asset to a country because of itsliquidity.Gold reserve can stabilize the currency in a country.The objectiveof this paper is to identify the factors contributingto the volatility of gold prices, such as Real Malaysia GDP, inflation rates, crude oil pricesand exchange rates. The data was analysed using Autoregressive Distributed Lag (ARDL) approachwith time series data, with 30-year coverage from 1987 to 2016. Findings showed that only Real Malaysia GDP and crudeoil priceswere significantly relatedto gold prices. As a conclusion, this study can beusedas reference byother investors.The author suggests toother researchers to further improve upon this study by adding more variables or diversifying the variables that relate to volatility of gold prices