ESG Uncertainty and Forecasting Realized Volatility of Gold Returns: A Boosting Approach

Matteo Bonato (), Rangan Gupta, Christian Pierdzioch () and Onur Polat ()
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Matteo Bonato: Department of Economics and Econometrics, University of Johannesburg, Auckland Park, South Africa; IPAG Business School, 184 Boulevard Saint-Germain, 75006 Paris, France
Christian Pierdzioch: Department of Economics, Helmut Schmidt University, Holstenhofweg 85, P.O.B. 700822, 22008 Hamburg, Germany
Onur Polat: Department of Public Finance, Bilecik Seyh Edebali University, Bilecik, Turkiye

No 202513, Working Papers from University of Pretoria, Department of Economics

Abstract: Based on monthly data for the sample period from 2002:11 to 2024:09, we report that 25 country-level ESG-related uncertainty indexes improve the accuracy of out-of-sample forecasts of the realized volatility of gold returns, and also produce economic benefits. Using a component-wise gradient descent boosting algorithm, we show that this main result of our empirical study is robust to alternative model specifications, forecast evaluation criteria, and three different forecast horizons. Importantly, we find for a somewhat shorter sample period of 2008:01 to 2024:09 that, general measures of economic uncertainty do not go beyond the country-level ESG-based uncertainty indexes in improving the forecasting performance of the realized volatility of gold returns. Our findings have important implications from the perspective of investors as well as policymakers.

Keywords: Gold; Realized volatility; ESG uncertainty; Forecasting (search for similar items in EconPapers)
JEL-codes: C22 C53 D80 G15 Q02 Q56 (search for similar items in EconPapers)
Pages: 59 pages
Date: 2025-04
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Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:202513

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