Forecasting Power of Infectious Diseases-Related Uncertainty for Gold Realized Volatility
Elie Bouri (),
Konstantinos Gkillas (),
Rangan Gupta () and
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Konstantinos Gkillas: Department of Business Administration, University of Patras, University Campus, Rio, P.O. Box 1391, 26500 Patras, Greece
No 202049, Working Papers from University of Pretoria, Department of Economics
We examine the forecasting power of a daily newspaper-based index of uncertainty associated with infectious diseases (EMVID) for gold market returns volatility via the heterogeneous autoregressive realized volatility (HAR-RV) model. Our results show that the EMVID index increases RV at the highest level of statistical significance within-sample, and more importantly, it also improves forecast accuracy of gold realized volatility at short-, medium, and long-run horizons in a statistically significant manner. Our results have important portfolio implications for investors during the current period of unprecedented levels of uncertainty resulting from the outbreak of COVID-19.
Keywords: Uncertainty; Infectious Diseases; COVID-19; Gold; Realized Volatility; Forecasting (search for similar items in EconPapers)
JEL-codes: C22 C53 D80 Q02 (search for similar items in EconPapers)
Pages: 11 pages
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Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:202049
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