Infectious diseases-related uncertainty and the predictability of foreign exchange and Bitcoin futures realized volatility
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Date
Authors
Shiba, Sisa
Cunado, Juncal
Gupta, Rangan
Goswami, Samrat
Journal Title
Journal ISSN
Volume Title
Publisher
World Scientific Publishing
Abstract
This paper examines the forecasting power of daily infectious disease-related uncertainty in predicting the realized volatility of nine foreign exchange futures and the Bitcoin futures series using the heterogeneous autoregressive realized variance model. Our results indicate that the infectious diseases-related uncertainty index plays a crucial role in predicting the future path of foreign exchange and Bitcoin futures realized volatility in all the selected time intervals. These findings have important implications for portfolio managers and investors during periods of high levels of uncertainty associated with infectious diseases.
Description
Keywords
Infectious diseases-related uncertainty, Foreign exchange market, Bitcoin, Realized volatility forecast, Forecasting, SDG-08: Decent work and economic growth
Sustainable Development Goals
SDG-08:Decent work and economic growth
Citation
Shiba, S., Cunado, J., Gupta, R. et al. 2023, 'Infectious diseases-related uncertainty and the predictability of foreign exchange and Bitcoin futures realized volatility', Annals of Financial Economics, vol. 18, no. 2, art. 2230001, doi : 10.1142/S2010495222300010.