Uncertainty, Spillovers, and Forecasts of the Realized Variance of Gold Returns

Rangan Gupta and Christian Pierdzioch

No 202137, Working Papers from University of Pretoria, Department of Economics

Abstract: Using data for the group of G7 countries and China for the sample period 1996Q1 to 2020Q4, we study the role of uncertainty and spillovers for the out-of-sample forecasting of the realized variance of gold returns and its upside (good) and downside (bad) counterparts. Our results, based on the Lasso estimator, show that, across the various model configurations that we study, uncertainty has a more systematic effect on out-of-sample forecast accuracy than spillovers. Our results have important implications for investors.

Keywords: Uncertainty; Spillovers; Realized variance; Gold; Forecasting (search for similar items in EconPapers)
JEL-codes: C22 C53 D8 Q02 (search for similar items in EconPapers)
Pages: 15 pages
Date: 2021-05
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:202137

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