Investor happiness and predictability of the realized volatility of oil price
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 | 2021-03-02T08:25:20Z | |
dc.date.available | 2021-03-02T08:25:20Z | |
dc.date.issued | 2020-05-25 | |
dc.description.abstract | We use the the heterogeneous autoregressive realized volatility (HAR-RV) model to analyze both in sample and out-of-sample whether a measure of investor happiness predicts the daily realized volatility of oil-price returns, where we use high-frequency intraday data to measure realized volatility. Full-sample estimates reveal that realized volatility is significantly negatively linked to investor happiness at a short forecast horizon. Similarly, out-of-sample results indicate that investor happiness significantly improves the accuracy of forecasts of realized volatility at a short forecast horizon. Results for a medium and a long forecast horizon are insignificant. We argue that our results shed light on the role played by speculation in oil products and the potential function of oil-related products as a hedge against risks in traditional financial assets. | en_ZA |
dc.description.department | Economics | en_ZA |
dc.description.librarian | am2021 | en_ZA |
dc.description.uri | http://www.mdpi.com/journal/sustainability | en_ZA |
dc.identifier.citation | Bonato, M., Gkillas, K., Gupta, R. et al. 2020, 'Investor happiness and predictability of the realized volatility of oil price', Sustainability, vol. 13, art. 4309, pp. 1-11. | en_ZA |
dc.identifier.issn | 2071-1050 (online) | |
dc.identifier.other | 10.3390/su12104309 | |
dc.identifier.uri | http://hdl.handle.net/2263/78909 | |
dc.language.iso | en | en_ZA |
dc.publisher | MDPI Publishing | en_ZA |
dc.rights | © 2020 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_ZA |
dc.subject | Investor happiness | en_ZA |
dc.subject | Oil market | en_ZA |
dc.subject | Realized volatility | en_ZA |
dc.subject | Forecasting | en_ZA |
dc.subject | Heterogeneous autoregressive realized volatility (HAR-RV) | en_ZA |
dc.title | Investor happiness and predictability of the realized volatility of oil price | en_ZA |
dc.type | Article | en_ZA |