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
; 14(20):6775, 2021.
Article
in English
| ProQuest Central | ID: covidwho-1480662
ABSTRACT
We examine the predictive value of gold-to-silver and gold-to-platinum price ratios, as proxies for global risks affecting the realized variance (RV) of oil-price movements, using monthly data over the longest available periods of 191501–202103 and 196801–202103, respectively. Using the two ratios, we find statistically significant evidence of in-sample predictability for increases in RV for both ratios. 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.
Full text:
Available
Collection:
Databases of international organizations
Database:
ProQuest Central
Language:
English
Journal:
Energies
Year:
2021
Document Type:
Article
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