Cryptocurrency uncertainty and volatility forecasting of precious metal futures markets

Yu Wei, Yizhi Wang, Brian Lucey and Samuel A. Vigne

Journal of Commodity Markets, 2023, vol. 29, issue C

Abstract: Several common properties shared by cryptocurrencies and precious metals, such as safe haven, hedge and diversification for risk assets, have been widely discussed since Bitcoin was created in 2008. However, no studies have explored whether cryptocurrency market uncertainties can help to explain and forecast volatilities in precious metal markets. By using the GARCH-MIDAS model incorporating cryptocurrency policy and price uncertainty, as well as several other commonly used uncertainty measures, this paper compares the in-sample impacts and out-of-sample predictive abilities of these uncertainties on volatility forecasts of COMEX gold and silver futures markets. The in-sample results demonstrate the significant impacts of cryptocurrency uncertainty on the volatilities of precious metal futures markets, and the out-of-sample evidence further confirms the superior predictive power of cryptocurrency uncertainty on volatility forecasting of the precious metal market. Our conclusions are robust through various model evaluation approaches based not only on predicting errors but also on forecasting directions across different forecasting time horizons.

Keywords: Cryptocurrency uncertainty; Precious metal; Volatility forecasting; Model evaluation (search for similar items in EconPapers)
JEL-codes: C22 C52 Q43 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (20)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S2405851322000629
Full text for ScienceDirect subscribers only

Related works:
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:eee:jocoma:v:29:y:2023:i:c:s2405851322000629

DOI: 10.1016/j.jcomm.2022.100305

Access Statistics for this article

Journal of Commodity Markets is currently edited by Marcel Prokopczuk, Betty Simkins and Sjur Westgaard

More articles in Journal of Commodity Markets from Elsevier
Bibliographic data for series maintained by Catherine Liu ().