Climate risks and forecastability of the realized volatility of gold and other metal prices
| dc.contributor.author | Gupta, Rangan | |
| dc.contributor.author | Pierdzioch, Christian | |
| dc.contributor.email | rangan.gupta@up.ac.za | en_US |
| dc.date.accessioned | 2022-08-23T07:15:24Z | |
| dc.date.available | 2022-08-23T07:15:24Z | |
| dc.date.issued | 2022-08 | |
| dc.description.abstract | We use variants of the Heterogeneous Autoregressive Realized Volatility (HAR-RV) model to examine the out-of-sample predictive value of climate-risk factors for the realized volatility of gold price returns as well as the realized volatility of for other metal price returns (Copper, Palladium, Platinum, Silver). We estimate the HAR-RV models using not only ordinary least squares, but also we use three different popular shrinkage estimators. Our main finding is that climate-risk factors improve the accuracy of out-of-sample forecasts prices at a monthly and, in some cases, also at a weekly forecast horizon. | en_US |
| dc.description.department | Economics | en_US |
| dc.description.librarian | hj2022 | en_US |
| dc.description.uri | http://www.elsevier.com/locate/resourpol | en_US |
| dc.identifier.citation | Gupta R. & Pierdzioch C. 2022, 'Climate risks and forecastability of the realized volatility of gold and other metal prices', Resources Policy, vol. 77, art. 102681, pp. 1-9, doi : 10.1016/j.resourpol.2022.102681. | en_US |
| dc.identifier.issn | 0301-4207 (print) | |
| dc.identifier.issn | 1873-7641 (online) | |
| dc.identifier.other | 10.1016/j.resourpol.2022.102681 | |
| dc.identifier.uri | https://repository.up.ac.za/handle/2263/86924 | |
| dc.language.iso | en | en_US |
| dc.publisher | Elsevier | en_US |
| dc.rights | © 2022 Elsevier Ltd. All rights reserved. Notice : this is the author’s version of a work that was submittted for publication in Resources Policy. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms are not reflected in this document. A definitive version was subsequently published in Resources Policy, vol. 77, art. 102681, pp. 1-9, 2022. doi : 10.1016/j.resourpol.2022.102681. | en_US |
| dc.subject | Climate risks | en_US |
| dc.subject | Realized volatility forecast | en_US |
| dc.subject | Gold | en_US |
| dc.subject | Metals | en_US |
| dc.subject | Forecasting | en_US |
| dc.title | Climate risks and forecastability of the realized volatility of gold and other metal prices | en_US |
| dc.type | Preprint Article | en_US |