A boosting approach to forecasting the volatility of gold-price fluctuations under flexible loss

Christian Pierdzioch, Marian Risse and Sebastian Rohloff

Resources Policy, 2016, vol. 47, issue C, 95-107

Abstract: We use a boosting approach to study the time-varying out-of-sample informational content of various financial and macroeconomic variables for forecasting the volatility of gold-price fluctuations. We use an out-of-sample R2 statistic to evaluate forecasts as a function of the shape of a forecaster's loss function. We show that, when compared to an autoregressive benchmark forecast, those forecasters tend to benefit from using predictions implied by the boosting approach who encounter a larger loss when underestimating rather than overestimating the future volatility of gold-price fluctuations. We use a simulation experiment to study the significance of this benefit.

Keywords: Volatility of gold-price fluctuations; Forecasting; Boosting approach (search for similar items in EconPapers)
JEL-codes: C53 E44 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (20)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:47:y:2016:i:c:p:95-107

DOI: 10.1016/j.resourpol.2016.01.003

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