EconPapers    
Economics at your fingertips  
 

Investor Happiness and Predictability of the Realized Volatility of Oil Price

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 202009, Working Papers from University of Pretoria, Department of Economics

Abstract: We use the heterogeneous autoregressive realized volatility (HAR-RV) model to analyze both in sample and out-of-sample whether a measure of investor happiness predicts the daily realized volatility of oil-price returns, where we use high-frequency intradaily data to measure realized volatility. Full-sample estimates reveal that realized volatility is significantly negatively linked to investor happiness at a short forecast horizon. Similarly, out-of-sample results indicate that investor happiness significantly improves accuracy of forecasts of realized volatility at a short forecast horizon. Results for a medium and a long forecast horizon are insignificant. We argue that our results shed light on the role played by speculation in oil products and the potential function of oil-related products as a hedge against risks in traditional financial assets.

Keywords: Investor Happiness; Oil market; Realized Volatility; Forecasting (search for similar items in EconPapers)
JEL-codes: G15 G17 Q02 (search for similar items in EconPapers)
Pages: 19 pages
Date: 2020-01
New Economics Papers: this item is included in nep-ene, nep-for, nep-hap and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Investor Happiness and Predictability of the Realized Volatility of Oil Price (2020) Downloads
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:pre:wpaper:202009

Access Statistics for this paper

More papers in Working Papers from University of Pretoria, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Rangan Gupta ().

 
Page updated 2020-09-10
Handle: RePEc:pre:wpaper:202009