Infectious Diseases-Related Uncertainty and the Predictability of Foreign Exchange and Bitcoin Futures Realized Volatility

Sisa Shiba, Juncal Cunado (), Rangan Gupta and Samrat Goswami ()
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Sisa Shiba: , ‡Department of Economics, University of Pretoria, Private Bag X20, Hatfield 0028, South Africa
Juncal Cunado: ��Department of Economics, University of Navarra, 20280, Pamplona, Spain
Samrat Goswami: �Department of Rural Studies, Tripura University Suryamaninagar 799022, Tripura, India

Annals of Financial Economics (AFE), 2023, vol. 18, issue 02, 1-14

Abstract: This paper examines the forecasting power of daily infectious disease-related uncertainty in predicting the realized volatility of nine foreign exchange futures and the Bitcoin futures series using the heterogeneous autoregressive realized variance model. Our results indicate that the infectious diseases-related uncertainty index plays a crucial role in predicting the future path of foreign exchange and Bitcoin futures realized volatility in all the selected time intervals. These findings have important implications for portfolio managers and investors during periods of high levels of uncertainty associated with infectious diseases.

Keywords: Infectious diseases-related uncertainty; foreign exchange market; Bitcoin; realized volatility; forecasting (search for similar items in EconPapers)
JEL-codes: C22 F31 (search for similar items in EconPapers)
Date: 2023
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Working Paper: Infectious Diseases-Related Uncertainty and the Predictability of Foreign Exchange and Bitcoin Futures Realised Volatility (2022)
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DOI: 10.1142/S2010495222300010

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