A note on investor happiness and the predictability of realized volatility of gold

dc.contributor.authorBonato, Matteo
dc.contributor.authorGkillas, Konstantinos
dc.contributor.authorGupta, Rangan
dc.contributor.authorPierdzioch, Christian
dc.contributor.emailrangan.gupta@up.ac.zaen_ZA
dc.date.accessioned2021-04-13T06:41:03Z
dc.date.issued2021-03
dc.description.abstractWe 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.departmentEconomicsen_ZA
dc.description.embargo2021-05-28
dc.description.librarianhj2021en_ZA
dc.description.sponsorshipThe German Science Foundationen_ZA
dc.description.urihttp://www.elsevier.com/locate/frlen_ZA
dc.identifier.citationBonato, 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.issn1544-6123 (print)
dc.identifier.issn1544-6131 (online)
dc.identifier.other10.1016/j.frl.2020.101614
dc.identifier.urihttp://hdl.handle.net/2263/79403
dc.language.isoenen_ZA
dc.publisherElsevieren_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.subjectHeterogeneous autoregressive realized volatility (HAR-RV)en_ZA
dc.subjectInvestor happinessen_ZA
dc.subjectGolden_ZA
dc.subjectRealized volatilityen_ZA
dc.subjectForecastingen_ZA
dc.titleA note on investor happiness and the predictability of realized volatility of golden_ZA
dc.typePostprint Articleen_ZA

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