# Investor Happiness and Predictability of the Realized Volatility of Oil Price

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## Abstract

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## 1. Introduction

## 2. Methods

## 3. Data

## 4. Empirical Results

## 5. Concluding Remarks

## Author Contributions

## Acknowledgments

## Conflicts of Interest

## References

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Statistic | MRV | HA |
---|---|---|

Min | 0.001 | 5.840 |

Mean | 0.424 | 6.026 |

Median | 0.222 | 6.033 |

Max | 4.997 | 6.357 |

Results.Table | Intercept | MRV | MRV${}_{\mathit{w}}$ | MRV${}_{\mathit{m}}$ | HA | RKU | RSK | Adj. R2 |
---|---|---|---|---|---|---|---|---|

$h=1$ | ||||||||

HAR-RV | 2.8153 | 4.0303 | 8.8586 | 1.7208 | – | – | – | 0.6354 |

p-value | 0.0049 | 0.0001 | 0.0000 | 0.0853 | – | – | – | – |

HAR-RV-HA | 4.2709 | 3.7583 | 8.9359 | 1.9765 | −4.2584 | – | – | 0.6390 |

p-value | 0.0000 | 0.0002 | 0.0000 | 0.0481 | 0.0000 | – | – | – |

HAR-RV-HA-RKU | 4.5456 | 3.9123 | 8.5785 | 1.8141 | −4.5257 | −1.3242 | – | 0.6390 |

p-value | 0.0000 | 0.0001 | 0.0000 | 0.0697 | 0.0000 | 0.1854 | – | – |

HAR-RV-HA-RSK | 4.2172 | 3.7246 | 8.9613 | 1.9992 | −4.2049 | – | −1.4846 | 0.6391 |

p-value | 0.0000 | 0.0002 | 0.0000 | 0.0456 | 0.0000 | – | 0.1377 | – |

HAR-RV-HA-RKU-RSK | 4.4645 | 3.8698 | 8.6267 | 1.8390 | −4.4448 | −1.0451 | −1.2514 | 0.6391 |

p-value | 0.0000 | 0.0001 | 0.0000 | 0.0659 | 0.0000 | 0.2960 | 0.2108 | – |

$h=5$ | ||||||||

HAR-RV | 1.4702 | 3.9532 | 5.4185 | 2.8944 | – | – | – | 0.8431 |

p-value | 0.1415 | 0.0001 | 0.0000 | 0.0038 | – | – | – | – |

HAR-RV-HA | −0.2349 | 3.8698 | 5.4262 | 2.7933 | 0.2532 | – | – | 0.8431 |

p-value | 0.8143 | 0.0001 | 0.0000 | 0.0052 | 0.8001 | – | – | – |

HAR-RV-HA-RKU | −0.2244 | 4.0214 | 4.8399 | 2.6085 | 0.2416 | −0.1102 | – | 0.8430 |

p-value | 0.8225 | 0.0001 | 0.0000 | 0.0091 | 0.8091 | 0.9122 | – | – |

HAR-RV-HA-RSK | −0.2348 | 3.8914 | 5.4489 | 2.8141 | 0.253 | – | −0.0847 | 0.8430 |

p-value | 0.8144 | 0.0001 | 0.0000 | 0.0049 | 0.8003 | – | 0.9325 | – |

HAR-RV-HA-RKU-RSK | −0.2235 | 4.0578 | 4.8533 | 2.6302 | 0.2406 | −0.0956 | −0.0679 | 0.8429 |

p-value | 0.8231 | 0.0000 | 0.0000 | 0.0085 | 0.8099 | 0.9239 | 0.9459 | – |

$h=22$ | ||||||||

HAR-RV | 1.2423 | 4.9368 | 2.7946 | 1.9409 | – | – | – | 0.8410 |

p-value | 0.2141 | 0.0000 | 0.0052 | 0.0523 | – | – | – | – |

HAR-RV-HA | −1.0653 | 4.9981 | 3.0358 | 2.0031 | 1.0739 | – | – | 0.8416 |

p-value | 0.2868 | 0.0000 | 0.0024 | 0.0452 | 0.2829 | – | – | – |

HAR-RV-HA-RKU | −1.1839 | 4.8468 | 2.6076 | 1.8103 | 1.1898 | 0.9923 | – | 0.8415 |

p-value | 0.2365 | 0.0000 | 0.0091 | 0.0702 | 0.2341 | 0.3210 | – | – |

HAR-RV-HA-RSK | −1.0820 | 4.9983 | 3.0343 | 2.0029 | 1.0908 | – | −1.0739 | 0.8416 |

p-value | 0.2793 | 0.0000 | 0.0024 | 0.0452 | 0.2753 | – | 0.2829 | – |

HAR-RV-HA-RKU-RSK | −1.1341 | 4.8989 | 2.6945 | 1.8347 | 1.1397 | 1.2809 | −1.2352 | 0.8416 |

p-value | 0.2567 | 0.0000 | 0.0071 | 0.0666 | 0.2544 | 0.2002 | 0.2167 | – |

Rolling Window | $\mathit{h}=1$ | $\mathit{h}=5$ | $\mathit{h}=22$ |
---|---|---|---|

L1 loss | |||

1000 | 0.0269 | 0.5714 | 0.2693 |

1200 | 0.0007 | 0.4707 | 0.3105 |

1400 | 0.0000 | 0.9985 | 0.9274 |

L2 loss | |||

1000 | 0.0327 | 0.7654 | 0.6027 |

1200 | 0.0049 | 0.8196 | 0.6977 |

1400 | 0.0015 | 0.9641 | 0.9762 |

Specification Window | $\mathit{h}=1$ | $\mathit{h}=5$ | $\mathit{h}=22$ |
---|---|---|---|

HAR-RV-RKU vs. HAR-RV-RKU-HA | 0.0055 | 0.8292 | 0.7168 |

HAR-RV-RSK vs. HAR-RV-RSK-HA | 0.0045 | 0.8188 | 0.6888 |

HAR-RV-JUMP vs. HAR-RV-JUMP-HA | 0.0055 | 0.8171 | 0.6962 |

Rolling Window | $\mathit{h}=1$ | $\mathit{h}=5$ | $\mathit{h}=22$ |
---|---|---|---|

RVG | |||

1000 | 0.0711 | 0.7816 | 0.4886 |

1200 | 0.0015 | 0.8577 | 0.6647 |

1400 | 0.0005 | 0.9646 | 0.9708 |

RVB | |||

1000 | 0.0615 | 0.7825 | 0.5795 |

1200 | 0.0519 | 0.8274 | 0.6431 |

1400 | 0.0095 | 0.9687 | 0.9663 |

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## Share and Cite

**MDPI and ACS Style**

Bonato, M.; Gkillas, K.; Gupta, R.; Pierdzioch, C.
Investor Happiness and Predictability of the Realized Volatility of Oil Price. *Sustainability* **2020**, *12*, 4309.
https://doi.org/10.3390/su12104309

**AMA Style**

Bonato M, Gkillas K, Gupta R, Pierdzioch C.
Investor Happiness and Predictability of the Realized Volatility of Oil Price. *Sustainability*. 2020; 12(10):4309.
https://doi.org/10.3390/su12104309

**Chicago/Turabian Style**

Bonato, Matteo, Konstantinos Gkillas, Rangan Gupta, and Christian Pierdzioch.
2020. "Investor Happiness and Predictability of the Realized Volatility of Oil Price" *Sustainability* 12, no. 10: 4309.
https://doi.org/10.3390/su12104309