Demirer, RizaGupta, RanganPierdzioch, ChristianShahzad, Syed Jawad Hussain2021-02-252021Demirer, R., Gupta, R., Pierdzioch, C. et al. 2021, 'A note on oil price shocks and the forecastability of gold realized volatility', Applied Economics Letters, vol. 28, no. 21, pp. 1889-1897, doi: 10.1080/13504851.2020.1854658.1350-4851 (print)1466-4291 (online)10.1080/13504851.2020.1854658http://hdl.handle.net/2263/78831We examine the predictive power of disentangled oil price shocks over gold market volatility via the heterogeneous autoregressive realized volatility (HAR-RV) model. Our in- and out-of-sample tests show that combining the information from both oil supply and demand shocks with the innovations associated with financial market risks improves the forecast accuracy of realized volatility of gold. While financial risk shocks are important on their own, including oil price shocks in the model provides additional forecasting power in out-of-sample tests. Compared to the benchmark HAR-RV model, the extended model with all the three shocks included outperforms, in a statistically significant manner, all other variants of the HAR-RV framework for short-, medium, and long-run forecasting horizons. The findings highlight the predictive power of cross-market information in commodities and suggest that disentangling supply- and demand-related factors associated with price shocks could help improve the accuracy of forecasting models.en© 2020 Informa UK Limited, trading as Taylor & Francis Group. This is an electronic version of an article published in Applied Economics Letters, vol. 28, no. 21, pp. 1889-1897, 2021. doi : 10.1080/13504851.2020.1854658. Applied Economics Letters is available online at : http://www.tandfonline.com/loi/rael20.Oil shocksRiskShocksForecastingGoldRealized volatilityHeterogeneous autoregressive realized volatility (HAR-RV)Gold market volatilityPostprint Article