A Note on Forecasting the Historical Realized Variance of Oil-Price Movements: The Role of Gold-to-Silver and Gold-to-Platinum Price Ratios

Rangan Gupta, Christian Pierdzioch and Wing-Keung Wong

No 202158, Working Papers from University of Pretoria, Department of Economics

Abstract: We examine the predictive value of gold-to-silver and gold-to-platinum price ratios, as proxies for global risks, for the realized variance (RV) of oil-price movements using the longest possible monthly data available over 1915:01-2021:03 and 1968:01-2021:03, respectively. Using the two ratios, we find statistically significant evidence for both ratios of in-sample predictability emanating for increases in RV. This finding also translates into statistically significant out-of-sample forecasting gains derived from these two ratios for RV. Given the importance of real-time forecasts of the volatility of oil-price movements, our results have important implications for investors and policymakers.

Keywords: Gold-Silver and Gold-Platinum Price Ratios; Realized Variance of Oil-Price; Forecasting (search for similar items in EconPapers)
JEL-codes: C22 C53 Q02 (search for similar items in EconPapers)
Pages: 8 pages
Date: 2021-08
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Citations: View citations in EconPapers (9)

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Journal Article: A Note on Forecasting the Historical Realized Variance of Oil-Price Movements: The Role of Gold-to-Silver and Gold-to-Platinum Price Ratios (2021)
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