Infectious Diseases-Related Uncertainty and the Predictability of Foreign Exchange and Bitcoin Futures Realised Volatility

Sisa Shiba (), Juncal Cunado (), Rangan Gupta and Samrat Goswami ()
Additional contact information
Sisa Shiba: Department of Economics, University of Pretoria, Private Bag X20, Hatfield 0028, South Africa
Juncal Cunado: Department of Economics, University of Navarra, 20280 Pamplona, Spain
Samrat Goswami: Department of Rural Management and Development, Tripura University, Suryamaninagar, 799022, Tripura, India

No 202225, Working Papers from University of Pretoria, Department of Economics

Abstract: This paper examines the forecasting power of daily infectious disease-related uncertainty in predicting the realised volatility of nine foreign exchange futures and the Bitcoin futures series using the heterogeneous autoregressive realised variance model. Our results indicate that the infectious diseases-related uncertainty index plays a crucial role in predicting the future path of foreign exchange and Bitcoin futures realised volatility in all the selected time intervals. These findings have important implications for portfolio managers and investors during periods of high levels of uncertainty associated with infectious diseases.

Keywords: : infectious diseases-related uncertainty; foreign exchange market; Bitcoin; realised volatility; forecasting (search for similar items in EconPapers)
JEL-codes: C22 F31 (search for similar items in EconPapers)
Pages: 15 pages
Date: 2022-05
References: Add references at CitEc
Citations: View citations in EconPapers (1)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Infectious Diseases-Related Uncertainty and the Predictability of Foreign Exchange and Bitcoin Futures Realized Volatility (2023)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:202225

Access Statistics for this paper

More papers in Working Papers from University of Pretoria, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Rangan Gupta ().