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Article

Investor Happiness and Predictability of the Realized Volatility of Oil Price

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Department of Economics and Econometrics, University of Johannesburg, P.O. Box 524 Auckland Park, Johannesburg, South Africa
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IPAG Business School, 184 Boulevard Saint-Germain, 75006 Paris, France
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Department of Business Administration, University of Patras, University Campus, Rio, P.O. Box 1391, 26500 Patras, Greece
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Department of Economics, University of Pretoria, Pretoria 0002, South Africa
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Department of Economics, Helmut Schmidt University, Holstenhofweg 85, P.O. Box 700822, 22008 Hamburg, Germany
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Author to whom correspondence should be addressed.
Sustainability 2020, 12(10), 4309; https://doi.org/10.3390/su12104309
Received: 23 March 2020 / Revised: 23 April 2020 / Accepted: 5 May 2020 / Published: 25 May 2020
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. Full-sample estimates reveal that realized volatility is significantly negatively linked to investor happiness at a short forecast horizon. Similarly, out-of-sample results indicate that investor happiness significantly improves the accuracy of forecasts of realized volatility at a short forecast horizon. Results for a medium and a long forecast horizon are insignificant. We argue that our results shed light on the role played by speculation in oil products and the potential function of oil-related products as a hedge against risks in traditional financial assets. View Full-Text
Keywords: investor happiness; oil market; realized volatility; forecasting investor happiness; oil market; realized volatility; forecasting
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

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