Gold Futures Returns and Realized Moments: A Forecasting Experiment Using a Quantile-Boosting Approach

Matteo Bonato, Riza Demirer, Rangan Gupta and Christian Pierdzioch

No 201645, Working Papers from University of Pretoria, Department of Economics

Abstract: This paper proposes an iterative model-building approach known as quantile boosting to trace out the predictive value of realized volatility and skewness for gold futures returns. Controlling for several widely studied market- and sentiment-based variables, we examine the predictive value of realized moments across alternative forecast horizons and across the quantiles of the conditional distribution of gold futures returns. We find that the realized moments often significantly improve the predictive value of the estimated forecasting models at intermediate forecast horizons and across quantiles representing distressed market conditions. We argue that realized moments carry information that reflects investors’ tradeoff between diversification and skewed payoffs, particularly during periods of market stress, which may be especially relevant for gold as the traditional accepted safe haven.

Keywords: Gold futures returns; Realized volatility; Realized skewness; Forecasting; Quantile boosting (search for similar items in EconPapers)
JEL-codes: C22 C53 Q02 (search for similar items in EconPapers)
Pages: 32 pages
Date: 2016-06
New Economics Papers: this item is included in nep-for
References: View references in EconPapers View complete reference list from CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Gold futures returns and realized moments: A forecasting experiment using a quantile-boosting approach (2018)
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:pre:wpaper:201645

Access Statistics for this paper

More papers in Working Papers from University of Pretoria, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Rangan Gupta ().