A note on investor happiness and the predictability of realized volatility of gold
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Date
Authors
Bonato, Matteo
Gkillas, Konstantinos
Gupta, Rangan
Pierdzioch, Christian
Journal Title
Journal ISSN
Volume Title
Publisher
Elsevier
Abstract
We apply the heterogeneous autoregressive realized volatility (HAR-RV) model to examine the importance of investor happiness in predicting the daily realized volatility of gold returns. We estimate daily realized volatility by employing intraday data providing both in-sample and out-of-sample predictions. Our in-sample results reveal that realized volatility is negatively linked to investor happiness. Moreover, our out-of-sample results show that extending the HAR-RV model to include investor happiness significantly improves the accuracy of forecasts of realized volatility at short- and medium-run forecast horizons.
Description
Keywords
Heterogeneous autoregressive realized volatility (HAR-RV), Investor happiness, Gold, Realized volatility, Forecasting
Sustainable Development Goals
Citation
Bonato, M., Gkillas, K., Gupta, R. et al. 2021, 'A note on investor happiness and the predictability of realized volatility of gold', Finance Research Letters, vol. 39, art. 101614, pp. 1-6.