Investor Happiness and Predictability of the Realized Volatility of Oil Price

Investor Happiness and Predictability of the Realized Volatility of Oil Price

We use the the heterogeneous autoregressive realized volatility (HAR-RV) model to analyze both in sample and out-of-sample whether a measure of investor happiness predicts the daily realized volatility of oil-price returns, where we use high-frequency intraday data to measure realized volatility. Fu...

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Bibliographic Details
Main Authors: Matteo Bonato, Konstantinos Gkillas, Rangan Gupta, Christian Pierdzioch
Format: Article
Language:English
Published: MDPI AG 2020-05-01
Series:Sustainability
Subjects:
investor happiness
oil market
realized volatility
forecasting
Online Access:https://www.mdpi.com/2071-1050/12/10/4309

Internet

https://www.mdpi.com/2071-1050/12/10/4309

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