Infectious diseases-related uncertainty and the predictability of foreign exchange and Bitcoin futures realized volatility

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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.

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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.