Gold futures returns and realized moments: A forecasting experiment using a quantile-boosting approach

Matteo Bonato, Riza Demirer, Rangan Gupta and Christian Pierdzioch

Resources Policy, 2018, vol. 57, issue C, 196-212

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)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S030142071730377X
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Gold Futures Returns and Realized Moments: A Forecasting Experiment Using a Quantile-Boosting Approach (2016)
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:jrpoli:v:57:y:2018:i:c:p:196-212

DOI: 10.1016/j.resourpol.2018.03.004

Access Statistics for this article

Resources Policy is currently edited by R. G. Eggert

More articles in Resources Policy from Elsevier
Bibliographic data for series maintained by Catherine Liu ().