What drives the uranium sector risk? The role of attention, economic and geopolitical uncertainty

Štefan Lyócsa and Neda Todorova

Energy Economics, 2024, vol. 140, issue C

Abstract: Interest in nuclear energy has increased recently due to its low-carbon footprint, energy security concerns, and technological advances. Despite the recent surge in uranium stocks, there is a lack of research on uranium sector volatility. We fill this gap by analyzing the volatility of the Global X Uranium ETF (URA) from 2010 to 2024 using high-frequency data. Our analysis reveals that HAR models effectively capture URA volatility. Market-wide implied volatility and investor attention, captured by Google search volume, are found to contain valuable information for forecasting uranium sector volatility in an in-sample context. In contrast, economic and geopolitical uncertainty, as well as global financial risk, exhibit limited relevance. Although advanced models show some improvement in out-of-sample predictions, the basic HAR model remains a robust benchmark.

Keywords: Uranium; ETF; Nuclear energy; Realized volatility; Forecasting; Geopolitical uncertainty (search for similar items in EconPapers)
JEL-codes: G1 G17 Q47 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:140:y:2024:i:c:s0140988324006881

DOI: 10.1016/j.eneco.2024.107980

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