A Note on Forecasting the Historical Realized Variance of Oil-Price Movements: The Role of Gold-to-Silver and Gold-to-Platinum Price Ratios
We examine the predictive value of gold-to-silver and gold-to-platinum price ratios, as proxies for global risks affecting the realized variance (<i>RV</i>) of oil-price movements, using monthly data over the longest available periods of 1915:01–2021:03 and 1968:01–2021:03, respectively....
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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MDPI AG
2021-10-01
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| Series: | Energies |
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| Online Access: | https://www.mdpi.com/1996-1073/14/20/6775 |
| _version_ | 1797514724101849088 |
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| author | Rangan Gupta Christian Pierdzioch Wing-Keung Wong |
| author_facet | Rangan Gupta Christian Pierdzioch Wing-Keung Wong |
| author_sort | Rangan Gupta |
| collection | DOAJ |
| description | We examine the predictive value of gold-to-silver and gold-to-platinum price ratios, as proxies for global risks affecting the realized variance (<i>RV</i>) of oil-price movements, using monthly data over the longest available periods of 1915:01–2021:03 and 1968:01–2021:03, respectively. Using the two ratios, we find statistically significant evidence of in-sample predictability for increases in <i>RV</i> for both ratios. This finding also translates into statistically significant out-of-sample forecasting gains derived from these two ratios for <i>RV</i>. Given the importance of real-time forecasts of the volatility of oil-price movements, our results have important implications for investors and policymakers. |
| first_indexed | 2024-03-10T06:35:44Z |
| format | Article |
| id | doaj.art-7b8fb3fca27f40db9b3ea7b7814c5529 |
| institution | Directory Open Access Journal |
| issn | 1996-1073 |
| language | English |
| last_indexed | 2024-03-10T06:35:44Z |
| publishDate | 2021-10-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Energies |
| spelling | doaj.art-7b8fb3fca27f40db9b3ea7b7814c55292023-11-22T18:08:30ZengMDPI AGEnergies1996-10732021-10-011420677510.3390/en14206775A Note on Forecasting the Historical Realized Variance of Oil-Price Movements: The Role of Gold-to-Silver and Gold-to-Platinum Price RatiosRangan Gupta0Christian Pierdzioch1Wing-Keung Wong2Department of Economics, University of Pretoria, Private Bag X20, Hatfield, Pretoria 0028, South AfricaDepartment of Economics, Helmut Schmidt University, 22008 Hamburg, GermanyDepartment of Finance, Fintech & Blockchain Research Center, and Big Data Research Center, Asia University, Taichung City 41354, TaiwanWe examine the predictive value of gold-to-silver and gold-to-platinum price ratios, as proxies for global risks affecting the realized variance (<i>RV</i>) of oil-price movements, using monthly data over the longest available periods of 1915:01–2021:03 and 1968:01–2021:03, respectively. Using the two ratios, we find statistically significant evidence of in-sample predictability for increases in <i>RV</i> for both ratios. This finding also translates into statistically significant out-of-sample forecasting gains derived from these two ratios for <i>RV</i>. Given the importance of real-time forecasts of the volatility of oil-price movements, our results have important implications for investors and policymakers.https://www.mdpi.com/1996-1073/14/20/6775gold-to-silver and gold-to-platinum price ratiosrealized variance of oil priceforecasting |
| spellingShingle | Rangan Gupta Christian Pierdzioch Wing-Keung Wong A Note on Forecasting the Historical Realized Variance of Oil-Price Movements: The Role of Gold-to-Silver and Gold-to-Platinum Price Ratios Energies gold-to-silver and gold-to-platinum price ratios realized variance of oil price forecasting |
| title | A Note on Forecasting the Historical Realized Variance of Oil-Price Movements: The Role of Gold-to-Silver and Gold-to-Platinum Price Ratios |
| title_full | A Note on Forecasting the Historical Realized Variance of Oil-Price Movements: The Role of Gold-to-Silver and Gold-to-Platinum Price Ratios |
| title_fullStr | A Note on Forecasting the Historical Realized Variance of Oil-Price Movements: The Role of Gold-to-Silver and Gold-to-Platinum Price Ratios |
| title_full_unstemmed | A Note on Forecasting the Historical Realized Variance of Oil-Price Movements: The Role of Gold-to-Silver and Gold-to-Platinum Price Ratios |
| title_short | A Note on Forecasting the Historical Realized Variance of Oil-Price Movements: The Role of Gold-to-Silver and Gold-to-Platinum Price Ratios |
| title_sort | note on forecasting the historical realized variance of oil price movements the role of gold to silver and gold to platinum price ratios |
| topic | gold-to-silver and gold-to-platinum price ratios realized variance of oil price forecasting |
| url | https://www.mdpi.com/1996-1073/14/20/6775 |
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