Forecasting Realized Gold Volatility: Is there a Role of Geopolitical Risks?
Konstantinos Gkillas (Gillas) (),
Rangan Gupta and
No 201943, Working Papers from University of Pretoria, Department of Economics
We use a quantile-regression heterogeneous autoregressive realized volatility (QR-HARRV) model to study whether geopolitical risks have predictive value in sample and out-of-sample for realized gold-returns volatility estimated from intradaily data. We consider overall geopolitical risks along with a decomposition into actual risks (i.e., acts) and threats, and we control for overall the impact of economic policy uncertainty (EPU). We find that, after controlling for EPU, the components of geopolitical risks have predictive power for realized volatility mainly at a longer forecast horizon when we account for the potential asymmetry of the loss function a forecaster uses to evaluate forecasts.
Keywords: Gold-price returns; Realized volatility; Geopolitical risks; Forecasting (search for similar items in EconPapers)
Pages: 14 pages
New Economics Papers: this item is included in nep-for and nep-rmg
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Journal Article: Forecasting realized gold volatility: Is there a role of geopolitical risks? (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:201943
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