A Note on Forecasting the Historical Realized Variance of Oil-Price Movements: The Role of Gold-to-Silver and Gold-to-Platinum Price Ratios

Rangan Gupta, Christian Pierdzioch and Wing-Keung Wong

Energies, 2021, vol. 14, issue 20, 1-12

Abstract: We examine the predictive value of gold-to-silver and gold-to-platinum price ratios, as proxies for global risks affecting the realized variance ( RV ) of oil-price movements, using monthly data over the longest available periods of 1915:01–2021:03 and 1968:01–2021:03, respectively. Using the two ratios, we find statistically significant evidence of in-sample predictability for increases in RV for both ratios. This finding also translates into statistically significant out-of-sample forecasting gains derived from these two ratios for RV . Given the importance of real-time forecasts of the volatility of oil-price movements, our results have important implications for investors and policymakers.

Keywords: gold-to-silver and gold-to-platinum price ratios; realized variance of oil price; forecasting (search for similar items in EconPapers)
JEL-codes: Q Q0 Q4 Q40 Q41 Q42 Q43 Q47 Q48 Q49 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
https://www.mdpi.com/1996-1073/14/20/6775/pdf (application/pdf)
https://www.mdpi.com/1996-1073/14/20/6775/ (text/html)

Related works:
Working Paper: A Note on Forecasting the Historical Realized Variance of Oil-Price Movements: The Role of Gold-to-Silver and Gold-to-Platinum Price Ratios (2021)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jeners:v:14:y:2021:i:20:p:6775-:d:658457

Access Statistics for this article

Energies is currently edited by Ms. Agatha Cao

More articles in Energies from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().