Investor happiness and predictability of the realized volatility of oil price

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.accessioned2021-03-02T08:25:20Z
dc.date.available2021-03-02T08:25:20Z
dc.date.issued2020-05-25
dc.description.abstractWe 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.departmentEconomicsen_ZA
dc.description.librarianam2021en_ZA
dc.description.urihttp://www.mdpi.com/journal/sustainabilityen_ZA
dc.identifier.citationBonato, 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.issn2071-1050 (online)
dc.identifier.other10.3390/su12104309
dc.identifier.urihttp://hdl.handle.net/2263/78909
dc.language.isoenen_ZA
dc.publisherMDPI Publishingen_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.subjectInvestor happinessen_ZA
dc.subjectOil marketen_ZA
dc.subjectRealized volatilityen_ZA
dc.subjectForecastingen_ZA
dc.subjectHeterogeneous autoregressive realized volatility (HAR-RV)en_ZA
dc.titleInvestor happiness and predictability of the realized volatility of oil priceen_ZA
dc.typeArticleen_ZA

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