Climate risks and forecastability of the realized volatility of gold and other metal prices

Rangan Gupta and Christian Pierdzioch

Resources Policy, 2022, vol. 77, issue C

Abstract: We use variants of the Heterogeneous Autoregressive Realized Volatility (HAR-RV) model to examine the out-of-sample predictive value of climate-risk factors for the realized volatility of gold price returns as well as the realized volatility of for other metal price returns (Copper, Palladium, Platinum, Silver). We estimate the HAR-RV models using not only ordinary least squares, but also we use three different popular shrinkage estimators. Our main finding is that climate-risk factors improve the accuracy of out-of-sample forecasts prices at a monthly and, in some cases, also at a weekly forecast horizon.

Keywords: Climate risks; Realized volatility; Gold; Metals; Forecasting (search for similar items in EconPapers)
JEL-codes: C22 C53 Q02 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

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Related works:
Working Paper: Climate Risks and Forecastability of the Realized Volatility of Gold and Other Metal Prices (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:77:y:2022:i:c:s0301420722001295

DOI: 10.1016/j.resourpol.2022.102681

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