A note on investor happiness and the predictability of realized volatility of gold

Matteo Bonato, Konstantinos Gkillas, Rangan Gupta and Christian Pierdzioch

Finance Research Letters, 2021, vol. 39, issue C

Abstract: We apply the heterogeneous autoregressive realized volatility (HAR-RV) model to examine the importance of investor happiness in predicting the daily realized volatility of gold returns. We estimate daily realized volatility by employing intraday data providing both in-sample and out-of-sample predictions. Our in-sample results reveal that realized volatility is negatively linked to investor happiness. Moreover, our out-of-sample results show that extending the HAR-RV model to include investor happiness significantly improves the accuracy of forecasts of realized volatility at short- and medium-run forecast horizons.

Keywords: Investor happiness; Gold; Realized volatility; Forecasting (search for similar items in EconPapers)
JEL-codes: G15 G17 Q02 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (9)

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Working Paper: A Note on Investor Happiness and the Predictability of Realized Volatility of Gold (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:39:y:2021:i:c:s1544612320303524

DOI: 10.1016/j.frl.2020.101614

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