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Forecasting Power of Infectious Diseases-Related Uncertainty for Gold Realized Volatility

Elie Bouri (), Konstantinos Gkillas (), Rangan Gupta () and Christian Pierdzioch
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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

Abstract: 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
Date: 2020-05
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