The Effects of Geopolitical Uncertainty in Forecasting Financial Markets: A Machine Learning Approach
Abstract
:1. Introduction
2. Methodology and Data
2.1. Support Vector Regression
2.2. The Data
3. Empirical Results
3.1. Oil prices
3.2. Exchange Rates
3.3. Stock Indices
3.4. Gold Prices
4. Conclusions
Author Contributions
Funding
Conflicts of Interest
References
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Countries | Mean | Standard Deviation | Skewness | Kurtosis | Start Date | End Date |
---|---|---|---|---|---|---|
Panel A: Exchange rates | ||||||
Turkey | −1.79 | 2.95 | −0.76 | 2.00 | Dec-84 | Apr-18 |
Mexico | 2.37 | 0.36 | −1.19 | 5.69 | Dec-92 | Jun-17 |
Korea | 6.89 | 0.20 | −0.17 | 2.00 | Dec-84 | May-18 |
Russia | 2.89 | 1.21 | −1.68 | 5.49 | May-92 | Mar-18 |
India | 3.58 | 0.50 | −0.96 | 2.78 | Dec-84 | May-18 |
Brazil | 0.71 | 0.38 | −0.46 | 2.52 | Dec-94 | May-18 |
China | 1.86 | 0.30 | −1.13 | 3.29 | Dec-84 | May-18 |
Indonesia | 8.55 | 0.84 | −0.48 | 1.50 | Dec-84 | Mar-18 |
Saudi Arabia | 1.32 | 0.00 | −3.69 | 50.75 | Oct-95 | May-18 |
Argentina | 1.20 | 0.87 | 0.17 | 2.37 | Jul-96 | May-18 |
Thailand | 3.46 | 0.19 | 0.25 | 1.78 | Dec-84 | May-18 |
Israel | 1.15 | 0.37 | −1.32 | 4.19 | Dec-84 | Mar-18 |
Malaysia | 1.16 | 0.18 | −0.03 | 1.53 | Dec-84 | May-18 |
Philippines | 3.80 | 0.19 | −1.53 | 5.21 | Oct-95 | May-18 |
Panel B: Stock indices | ||||||
Turkey | 8.88 | 2.61 | −0.91 | 2.44 | Dec-89 | May-18 |
Mexico | 9.37 | 1.15 | −0.25 | 1.61 | Oct-91 | May-18 |
Korea | 6.83 | 0.66 | −0.72 | 3.50 | Dec-84 | May-18 |
Russia | 6.56 | 1.12 | −1.10 | 3.19 | Aug-97 | May-18 |
India | 8.49 | 1.29 | −0.33 | 2.12 | Dec-84 | May-18 |
Brazil | 8.61 | 3.94 | −2.16 | 6.54 | Nov-89 | May-18 |
China | 7.35 | 0.73 | −1.27 | 5.22 | Nov-90 | May-18 |
Indonesia | 6.69 | 1.30 | −0.11 | 2.20 | Dec-84 | May-18 |
Saudi Arabia | 8.37 | 0.76 | −0.30 | 1.71 | Dec-93 | May-18 |
Argentina | 6.66 | 2.39 | −2.09 | 9.16 | Dec-87 | May-18 |
Thailand | 6.87 | 0.40 | −0.18 | 1.91 | Apr-03 | May-18 |
Israel | 6.38 | 0.69 | −0.39 | 1.73 | Aug-92 | May-18 |
Malaysia | 7.15 | 0.33 | −0.57 | 1.97 | Jun-02 | May-18 |
Philippines | 7.76 | 0.71 | 0.14 | 2.12 | Nov-86 | May-18 |
Panel C: Other variables | ||||||
WTI oil | 3.54 | 0.65 | 0.36 | 1.78 | Dec-84 | May-18 |
Gold price | 6.30 | 0.60 | 0.64 | 1.82 | Dec-84 | May-18 |
Forecasting Horizons | 1 Month | 3 Months | 6 Months | 12 Months | 24 Months | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Country | OLS | SVR | RW | OLS | SVR | RW | OLS | SVR | RW | OLS | SVR | RW | OLS | SVR | RW |
Turkey | 6.86 | 6.86 | 6.69 | 15.74 | 15.63 | 13.98 | 28.27 | 27.34 | 21.06 | 42.76 | 43.64 | 27.58 | 50.70 | 48.98 | 36.74 |
Mexico | 7.02 | 7.02 | 6.68 | 16.27 | 16.30 | 14.68 | 29.47 | 28.28 | 22.65 | 43.25 | 42.27 | 30.05 | 49.12 | 47.58 | 39.64 |
Korea | 6.73 | 6.68 | 6.55 | 15.13 | 15.49 | 13.33 | 25.96 | 25.79 | 20.16 | 36.70 | 36.32 | 27.59 | 44.59 | 42.95 | 36.56 |
Russia | 7.21 | 7.26 | 6.98 | 17.77 | 17.84 | 16.27 | 31.68 | 29.24 | 25.10 | 45.89 | 42.39 | 32.44 | 49.35 | 46.98 | 43.24 |
India | 6.88 | 6.77 | 6.55 | 15.39 | 15.12 | 13.33 | 25.85 | 25.15 | 20.16 | 35.83 | 36.56 | 27.59 | 42.98 | 46.78 | 36.56 |
Brazil | 6.88 | 6.85 | 6.77 | 16.44 | 16.53 | 14.97 | 30.75 | 29.41 | 23.05 | 43.30 | 44.36 | 29.97 | 47.43 | 51.48 | 39.16 |
China | 6.82 | 6.85 | 6.66 | 15.55 | 15.78 | 14.23 | 27.95 | 26.48 | 21.53 | 39.65 | 40.02 | 28.45 | 51.47 | 55.24 | 37.54 |
Indonesia | 6.71 | 6.82 | 6.57 | 15.31 | 15.66 | 13.41 | 26.23 | 25.80 | 20.24 | 35.51 | 36.63 | 27.79 | 41.83 | 45.70 | 36.64 |
Saudi Arabia | 6.89 | 6.98 | 6.71 | 17.37 | 16.96 | 15.25 | 33.22 | 30.54 | 23.70 | 48.40 | 48.72 | 30.54 | 47.01 | 49.21 | 40.81 |
Argentina | 6.91 | 7.02 | 6.82 | 17.75 | 17.81 | 15.70 | 34.02 | 32.23 | 24.51 | 47.70 | 46.60 | 32.15 | 49.75 | 52.64 | 41.60 |
Thailand | 7.02 | 7.15 | 6.56 | 18.83 | 18.41 | 14.64 | 37.63 | 35.45 | 21.86 | 62.67 | 66.68 | 35.20 | 85.87 | 89.41 | 77.78 |
Israel | 6.87 | 6.83 | 6.73 | 15.73 | 15.63 | 14.43 | 29.08 | 27.73 | 21.73 | 43.46 | 43.92 | 28.90 | 51.54 | 55.64 | 39.69 |
Malaysia | 6.44 | 6.53 | 6.46 | 14.61 | 15.15 | 13.95 | 27.38 | 25.30 | 19.71 | 54.06 | 53.62 | 31.25 | 78.61 | 78.91 | 64.72 |
Philippines | 6.84 | 6.84 | 6.71 | 16.25 | 16.58 | 15.25 | 31.92 | 30.11 | 23.70 | 45.95 | 45.07 | 30.54 | 50.95 | 56.62 | 40.81 |
Forecasting Horizons | 1 Month | 3 Months | 6 Months | 12 Months | 24 Months | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Country | OLS | SVR | RW | OLS | SVR | RW | OLS | SVR | RW | OLS | SVR | RW | OLS | SVR | RW |
Turkey | 2.97 | 2.90 | 2.82 | 6.67 | 6.30 | 5.92 | 11.05 | 10.56 | 8.97 | 19.04 | 18.61 | 13.73 | 40.65 | 32.29 | 18.72 |
Mexico | 1.82 | 1.84 | 1.83 | 3.78 | 3.88 | 3.84 | 5.59 | 5.68 | 5.33 | 8.74 | 9.41 | 7.97 | 13.06 | 14.68 | 11.41 |
Korea | 1.96 | 1.93 | 1.80 | 4.98 | 4.22 | 3.72 | 8.25 | 6.44 | 5.78 | 13.87 | 10.72 | 9.17 | 15.04 | 12.75 | 13.77 |
Russia | 3.23 | 3.25 | 3.15 | 7.29 | 7.09 | 6.61 | 9.19 | 9.83 | 8.96 | 17.12 | 16.86 | 13.04 | 25.84 | 23.08 | 19.85 |
India | 1.16 | 1.14 | 1.08 | 2.53 | 2.51 | 2.35 | 4.05 | 4.17 | 3.64 | 6.92 | 7.42 | 6.19 | 9.71 | 10.64 | 9.35 |
Brazil | 2.99 | 3.11 | 2.69 | 6.87 | 6.54 | 5.66 | 12.26 | 11.09 | 9.22 | 19.61 | 17.86 | 14.33 | 32.38 | 31.82 | 19.57 |
China | 0.38 | 0.36 | 0.34 | 0.94 | 0.93 | 0.88 | 1.76 | 1.74 | 1.56 | 3.65 | 4.08 | 2.78 | 10.61 | 11.72 | 5.07 |
Indonesia | 3.68 | 3.39 | 3.21 | 7.60 | 6.73 | 6.13 | 14.53 | 9.63 | 8.53 | 30.34 | 14.93 | 12.70 | 61.78 | 22.22 | 18.19 |
Saudi Arabia | 0.05 | 0.05 | 0.06 | 0.05 | 0.05 | 0.06 | 0.05 | 0.05 | 0.07 | 0.05 | 0.05 | 0.07 | 0.05 | 0.05 | 0.07 |
Argentina | 1.85 | 1.68 | 1.82 | 5.12 | 4.28 | 4.63 | 9.76 | 7.25 | 7.85 | 17.16 | 16.32 | 14.26 | 22.20 | 24.52 | 27.12 |
Thailand | 1.02 | 1.01 | 1.01 | 2.22 | 2.10 | 2.12 | 3.79 | 3.85 | 3.39 | 5.94 | 6.32 | 5.23 | 7.62 | 7.84 | 8.66 |
Israel | 1.78 | 1.81 | 1.72 | 3.39 | 3.47 | 3.15 | 5.23 | 5.38 | 4.73 | 7.15 | 7.39 | 6.72 | 10.75 | 9.91 | 8.06 |
Malaysia | 1.65 | 1.63 | 1.59 | 3.67 | 3.63 | 3.41 | 6.19 | 6.42 | 4.68 | 10.11 | 10.83 | 7.85 | 19.01 | 19.00 | 13.57 |
Philippines | 1.18 | 1.15 | 1.12 | 2.68 | 2.78 | 2.42 | 4.57 | 4.69 | 5.94 | 7.53 | 7.89 | 5.87 | 11.40 | 12.09 | 8.21 |
Forecasting Horizons | 1 Month | 3 Months | 6 Months | 12 Months | 24 Months | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Country | OLS | SVR | RW | OLS | SVR | RW | OLS | SVR | RW | OLS | SVR | RW | OLS | SVR | RW |
Turkey | 7.84 | 7.70 | 7.63 | 13.33 | 12.85 | 12.10 | 22.26 | 21.80 | 17.35 | 35.86 | 35.07 | 24.18 | 66.99 | 47.70 | 27.88 |
Mexico | 3.64 | 3.62 | 3.68 | 6.90 | 7.09 | 6.63 | 11.31 | 11.69 | 10.16 | 21.18 | 22.32 | 15.76 | 40.06 | 39.75 | 21.64 |
Korea | 5.55 | 5.54 | 5.47 | 10.53 | 10.52 | 10.25 | 16.25 | 16.55 | 14.85 | 24.19 | 24.72 | 22.12 | 26.46 | 26.28 | 26.23 |
Russia | 5.62 | 5.54 | 5.30 | 12.04 | 11.60 | 10.63 | 20.33 | 19.55 | 17.09 | 33.08 | 32.08 | 23.65 | 40.08 | 19.85 | 19.90 |
India | 5.41 | 5.48 | 5.39 | 9.86 | 10.04 | 9.58 | 15.30 | 15.41 | 13.87 | 24.83 | 24.22 | 20.36 | 35.30 | 35.86 | 25.75 |
Brazil | 5.20 | 5.21 | 5.09 | 10.00 | 10.05 | 9.63 | 15.57 | 16.03 | 14.40 | 22.03 | 23.28 | 19.68 | 32.90 | 31.02 | 21.09 |
China | 5.83 | 6.00 | 5.80 | 11.95 | 12.02 | 11.44 | 19.25 | 18.44 | 17.76 | 24.57 | 23.50 | 25.73 | 41.07 | 33.80 | 30.19 |
Indonesia | 5.54 | 5.56 | 5.52 | 11.15 | 11.24 | 10.83 | 17.05 | 17.22 | 16.22 | 27.46 | 29.24 | 23.62 | 33.54 | 34.33 | 28.08 |
Saudi Arabia | 6.00 | 6.45 | 5.83 | 11.54 | 12.50 | 11.18 | 20.02 | 21.40 | 16.98 | 38.68 | 40.42 | 26.67 | 75.58 | 70.66 | 30.84 |
Argentina | 7.63 | 7.49 | 7.39 | 13.86 | 13.86 | 13.81 | 21.97 | 22.00 | 21.68 | 37.13 | 36.42 | 34.51 | 46.62 | 50.09 | 42.79 |
Thailand | 2.80 | 2.83 | 2.72 | 5.54 | 5.83 | 5.08 | 8.41 | 8.50 | 7.61 | 10.50 | 10.80 | 11.10 | 12.47 | 18.90 | 7.69 |
Israel | 3.74 | 3.75 | 3.71 | 7.41 | 7.78 | 7.18 | 12.45 | 12.58 | 11.04 | 21.73 | 21.71 | 16.98 | 29.11 | 30.16 | 21.04 |
Malaysia | 1.77 | 1.75 | 1.76 | 2.93 | 2.96 | 2.85 | 4.02 | 3.96 | 3.72 | 8.18 | 7.00 | 6.30 | 7.93 | 9.06 | 8.64 |
Philippines | 4.22 | 4.13 | 4.13 | 8.57 | 8.46 | 8.02 | 14.76 | 14.60 | 13.02 | 23.26 | 22.83 | 19.49 | 27.43 | 31.67 | 25.17 |
Forecasting Horizons | 1 Month | 3 Months | 6 Months | 12 Months | 24 Months | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Country | OLS | SVR | RW | OLS | SVR | RW | OLS | SVR | RW | OLS | SVR | RW | OLS | SVR | RW |
Turkey | 3.83 | 3.90 | 7.63 | 6.11 | 6.16 | 12.10 | 8.70 | 8.71 | 17.35 | 15.33 | 15.65 | 24.18 | 31.74 | 32.55 | 27.88 |
Mexico | 4.20 | 4.20 | 3.68 | 6.75 | 6.85 | 6.63 | 9.51 | 9.51 | 10.16 | 16.08 | 16.32 | 15.76 | 35.24 | 36.08 | 21.64 |
Korea | 3.56 | 3.58 | 5.47 | 6.04 | 5.93 | 10.25 | 8.55 | 8.58 | 14.85 | 14.58 | 15.06 | 22.12 | 30.78 | 31.50 | 26.23 |
Russia | 4.16 | 4.27 | 5.30 | 6.79 | 6.83 | 10.63 | 8.80 | 9.22 | 17.09 | 15.25 | 15.59 | 23.65 | 33.40 | 34.53 | 19.90 |
India | 3.56 | 3.55 | 5.39 | 5.99 | 5.95 | 9.58 | 8.47 | 8.53 | 13.87 | 14.31 | 14.88 | 20.36 | 31.15 | 32.50 | 25.75 |
Brazil | 4.06 | 4.08 | 5.09 | 6.68 | 6.70 | 9.63 | 9.31 | 9.42 | 14.40 | 15.75 | 16.21 | 19.68 | 32.67 | 33.65 | 21.09 |
China | 3.86 | 3.89 | 5.80 | 6.49 | 6.51 | 11.44 | 8.94 | 9.03 | 17.76 | 15.28 | 15.90 | 25.73 | 31.44 | 32.98 | 30.19 |
Indonesia | 3.60 | 3.61 | 5.52 | 5.95 | 5.83 | 10.83 | 8.51 | 8.42 | 16.22 | 14.46 | 14.89 | 23.62 | 31.41 | 32.76 | 28.08 |
Saudi Arabia | 4.07 | 4.14 | 5.83 | 6.74 | 6.75 | 11.18 | 9.05 | 9.10 | 16.98 | 14.20 | 14.77 | 26.67 | 30.31 | 31.96 | 30.84 |
Argentina | 4.01 | 4.05 | 7.39 | 6.61 | 6.65 | 13.81 | 8.72 | 8.82 | 21.68 | 14.51 | 14.97 | 34.51 | 30.51 | 31.61 | 42.79 |
Thailand | 3.45 | 3.39 | 2.72 | 5.72 | 5.74 | 5.08 | 6.80 | 6.74 | 7.61 | 9.69 | 9.70 | 11.10 | 19.25 | 20.99 | 7.69 |
Israel | 4.05 | 4.03 | 3.71 | 6.44 | 6.55 | 7.18 | 8.97 | 8.90 | 11.04 | 14.87 | 15.05 | 16.98 | 31.46 | 32.81 | 21.04 |
Malaysia | 3.36 | 3.35 | 1.76 | 5.95 | 6.51 | 2.85 | 8.47 | 8.65 | 3.72 | 15.58 | 15.90 | 6.30 | 33.97 | 35.89 | 8.64 |
Philippines | 4.11 | 4.15 | 4.13 | 6.78 | 6.78 | 8.02 | 9.20 | 9.07 | 13.02 | 14.74 | 15.53 | 19.49 | 30.86 | 32.11 | 25.17 |
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Share and Cite
Plakandaras, V.; Gogas, P.; Papadimitriou, T. The Effects of Geopolitical Uncertainty in Forecasting Financial Markets: A Machine Learning Approach. Algorithms 2019, 12, 1. https://doi.org/10.3390/a12010001
Plakandaras V, Gogas P, Papadimitriou T. The Effects of Geopolitical Uncertainty in Forecasting Financial Markets: A Machine Learning Approach. Algorithms. 2019; 12(1):1. https://doi.org/10.3390/a12010001
Chicago/Turabian StylePlakandaras, Vasilios, Periklis Gogas, and Theophilos Papadimitriou. 2019. "The Effects of Geopolitical Uncertainty in Forecasting Financial Markets: A Machine Learning Approach" Algorithms 12, no. 1: 1. https://doi.org/10.3390/a12010001