Bonato, MatteoGkillas, KonstantinosGupta, RanganPierdzioch, Christian2021-03-022021-03-022020-05-25Bonato, 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. 1-11.2071-1050 (online)10.3390/su12104309http://hdl.handle.net/2263/78909We 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© 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.Investor happinessOil marketRealized volatilityForecastingHeterogeneous autoregressive realized volatility (HAR-RV)Article