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A Note on Investor Happiness and the Predictability of Realized Volatility of Gold

Matteo Bonato (), Konstantinos Gkillas (), Rangan Gupta () and Christian Pierdzioch
Additional contact information
Matteo Bonato: Department of Economics and Econometrics, University of Johannesburg, Auckland Park, South Africa and IPAG Business School, 184 Boulevard Saint-Germain, 75006 Paris, France
Konstantinos Gkillas: Department of Business Administration, University of Patras – University Campus, Rio, P.O. Box 1391, 26500 Patras, Greece

No 202004, Working Papers from University of Pretoria, Department of Economics

Abstract: We apply the heterogeneous autoregressive realized volatility (HAR-RV) model to examine the importance of investor happiness in predicting the daily realized volatility of gold returns. We estimate daily realized volatility by employing intraday data providing both in-sample and out-of sample predictions. Our in-sample results reveal that realized volatility is negatively linked to investor happiness. Moreover, our out-of-sample results show that extending the HAR-RV model to include investor happiness significantly improves the accuracy of forecasts of realized volatility at short- and medium-run forecast horizons.

Keywords: Investor Happiness; Gold; Realized Volatility; Forecasting (search for similar items in EconPapers)
JEL-codes: G15 G17 Q02 (search for similar items in EconPapers)
Pages: 14 pages
Date: 2020-01
New Economics Papers: this item is included in nep-for, nep-hap and nep-rmg
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