I watched Joe's videos, and I did a quick test and found I had a similar problem with my GW121, Ill put my replies to his video here also;
"WOW this is fascinating (this vid, the last one and blog comments), and as I have the BM869s (164490215), BM786 (204520906) and a 121GW (180202062, from the crowd funder), I had to try this against a couple references I have (incl, Fluke 731b, 732A, 343A, 752A divider). My 121GW (U-2.00 updated) is reading high on mV range so I ended up using 100mV as a test voltage (I used shielded PTFE copper cables). Sure enough, noisy till I put foil around it and grounded, then stable as the other two. Unexpected, but nice work, definitely need to remember that."
"PS: couldnt help it, also tried an Agilent U1253A (MY51400064), Fluke 189 (75240037), 289 (35740002), 8060a (7720020), Uni-T UT181a (C171835804), Tektronix DMM916 (144966) and even an Owon B41T+ (21340133), thankfully no other noise issues (even tried with a MHz noise generator transmitting in the background)."