A Note on Investor Happiness and the Predictability of Realized Volatility of Gold

Matteo Bonato, 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 202004, Working Papers from University of Pretoria, Department of Economics

Abstract: We apply the heterogeneous autoregressive realized volatility (HAR-RV) model to examine the importance of investor happiness in predicting the daily realized volatility of gold returns. We estimate daily realized volatility by employing intraday data providing both in-sample and out-of sample predictions. Our in-sample results reveal that realized volatility is negatively linked to investor happiness. Moreover, our out-of-sample results show that extending the HAR-RV model to include investor happiness significantly improves the accuracy of forecasts of realized volatility at short- and medium-run forecast horizons.

Keywords: Investor Happiness; Gold; Realized Volatility; Forecasting (search for similar items in EconPapers)
JEL-codes: G15 G17 Q02 (search for similar items in EconPapers)
Pages: 14 pages
Date: 2020-01
New Economics Papers: this item is included in nep-for, nep-hap and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (24)

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Journal Article: A note on investor happiness and the predictability of realized volatility of gold (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:202004

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