Climate Risks and Forecastability of the Realized Volatility of Gold and Other Metal Prices

Rangan Gupta and Christian Pierdzioch

No 202172, Working Papers from University of Pretoria, Department of Economics

Abstract: We use variants of the Heterogeneous Autoregressive Realized Volatility (HAR-RV) model to examine the out-of-sample predictive value of climate-risk factors for the realized volatility of gold price returns as well as the realized volatility of other metal price returns (Copper, Palladium, Platinum, Silver). We estimate the HAR-RV models using not only ordinary least squares, but also we use three different popular shrinkage estimators. Our main finding is that climate-risk factors improve the accuracy of out-of-sample forecasts prices at a monthly and, in some cases, also at a weekly forecast horizon.

Keywords: Climate Risks; Realized Volatility; Gold; Metals; Forecasting (search for similar items in EconPapers)
JEL-codes: C22 C53 Q02 (search for similar items in EconPapers)
Pages: 21 pages
Date: 2021-10
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Journal Article: Climate risks and forecastability of the realized volatility of gold and other metal prices (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:202172

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