A note on investor happiness and the predictability of realized volatility of gold
| dc.contributor.author | Bonato, Matteo | |
| dc.contributor.author | Gkillas, Konstantinos | |
| dc.contributor.author | Gupta, Rangan | |
| dc.contributor.author | Pierdzioch, Christian | |
| dc.contributor.email | rangan.gupta@up.ac.za | en_ZA |
| dc.date.accessioned | 2021-04-13T06:41:03Z | |
| dc.date.issued | 2021-03 | |
| dc.description.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. | en_ZA |
| dc.description.department | Economics | en_ZA |
| dc.description.embargo | 2021-05-28 | |
| dc.description.librarian | hj2021 | en_ZA |
| dc.description.sponsorship | The German Science Foundation | en_ZA |
| dc.description.uri | http://www.elsevier.com/locate/frl | en_ZA |
| dc.identifier.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. | en_ZA |
| dc.identifier.issn | 1544-6123 (print) | |
| dc.identifier.issn | 1544-6131 (online) | |
| dc.identifier.other | 10.1016/j.frl.2020.101614 | |
| dc.identifier.uri | http://hdl.handle.net/2263/79403 | |
| dc.language.iso | en | en_ZA |
| dc.publisher | Elsevier | en_ZA |
| dc.rights | © 2020 Elsevier Inc. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Finance Research Letters. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in Finance Research Letters, vol. 39, art. 101614, pp. 1-6, 2021. doi : 10.1016/j.frl.2020.101614. | en_ZA |
| dc.subject | Heterogeneous autoregressive realized volatility (HAR-RV) | en_ZA |
| dc.subject | Investor happiness | en_ZA |
| dc.subject | Gold | en_ZA |
| dc.subject | Realized volatility | en_ZA |
| dc.subject | Forecasting | en_ZA |
| dc.title | A note on investor happiness and the predictability of realized volatility of gold | en_ZA |
| dc.type | Postprint Article | en_ZA |