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RSS FeedsEnergies, Vol. 14, Pages 6775: 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)

 
 

17 october 2021 14:41:16

 
Energies, Vol. 14, Pages 6775: 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)
 


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 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 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.


 
69 viewsCategory: Biophysics, Biotechnology, Physics
 
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