This study aims to identify the factors that affect gold prices on the Turkish Gold Exchange. To that end, London Bullion Market Association's gold prices, Brent oil prices, the US dollar, the American Dow Jones Industrial Index, Wholesale Price Index, Istanbul Stock Exchange 100 Index, and monthly average time deposit interest rates were selected as the factors with possible impact on gold prices; and relevant econometric models were constructed. In the model that delivered the best results among all the models estimated by using the Engle-Granger two-step estimation procedure, London Bullion Market Association's gold prices were found to be the single and most important variable that influences the gold prices on the Istanbul Gold Exchange. Estimation of the gold prices on the Istanbul Gold Exchange in the study was done by using ARCH models. The analysis results revealed that the EGARCH(1,1) model is the best model. Using this model, it was concluded that gold prices on the Istanbul Gold Exchange are negatively influenced by the Dow Jones Industrial Index, positively influenced by London Bullion Market Association's gold prices, also positively influenced by the Wholesale Price Index, and negatively influenced by the volatility of the gold prices on the Istanbul Gold Exchange, which was estimated using ARCH models (C) 2014 The Authors. Published by Elsevier B.V.