Uncertainty, spillovers, and forecasts of the realized variance of gold returns

dc.contributor.authorGupta, Rangan
dc.contributor.authorPierdzioch, Christian
dc.contributor.emailrangan.gupta@up.ac.zaen_US
dc.date.accessioned2022-09-15T12:20:52Z
dc.date.available2022-09-15T12:20:52Z
dc.date.issued2021-09
dc.description.abstractUsing data for the group of G7 countries and China for the sample period 1996Q1 to 2020Q4, we study the role of uncertainty and spillovers for the out-of-sample forecasting of the realized variance of gold returns and its upside (good) and downside (bad) counterparts. We go beyond earlier research in that we do not focus exclusively on U.S.-based measures of uncertainty, and in that we account for international spillovers of uncertainty. Our results, based on the Lasso estimator, show that, across the various model configurations that we study, uncertainty has a more systematic effect on out-of-sample forecast accuracy than spillovers. Our results have important implications for investors in terms of, for example, pricing of related derivative securities and the development of portfolio-allocation strategies.en_US
dc.description.departmentEconomicsen_US
dc.description.librarianam2022en_US
dc.description.urihttps://www.mdpi.com/journal/mcaen_US
dc.identifier.citationGupta, R.; Pierdzioch, C. Uncertainty, Spillovers, and Forecasts of the Realized Variance of Gold Returns. Mathematical and Computational Applications 2021, 26, 49. https://DOI.org/10.3390/mca26030049.en_US
dc.identifier.issn1300-686X
dc.identifier.other10.3390/mca26030049
dc.identifier.urihttps://repository.up.ac.za/handle/2263/87208
dc.language.isoenen_US
dc.publisherMDPIen_US
dc.rights2021 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license.en_US
dc.subjectUncertaintyen_US
dc.subjectSpilloversen_US
dc.subjectRealized varianceen_US
dc.subjectGolden_US
dc.subjectForecastingen_US
dc.titleUncertainty, spillovers, and forecasts of the realized variance of gold returnsen_US
dc.typeArticleen_US

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