Gold Futures Returns and Realized Moments: A Forecasting Experiment Using a Quantile-Boosting Approach

32 Pages Posted: 15 Jun 2016

See all articles by Matteo Bonato

Matteo Bonato

University of Johannesburg - Department of Economics and Econometrics; Valdon Group GhmB

Riza Demirer

Southern Illinois University Edwardsville - Department of Economics & Finance; Economic Research Forum (ERF)

Rangan Gupta

University of Pretoria - Department of Economics

Christian Pierdzioch

University of the German Federal Armed Forces - Department of Economics

Date Written: June 14, 2016

Abstract

This paper proposes an iterative model-building approach known as quantile boosting to trace out the predictive value of realized volatility and skewness for gold futures returns. Controlling for several widely studied market- and sentiment-based variables, we examine the predictive value of realized moments across alternative forecast horizons and across the quantiles of the conditional distribution of gold futures returns. We find that the realized moments often significantly improve the predictive value of the estimated forecasting models at intermediate forecast horizons and across quantiles representing distressed market conditions. We argue that realized moments carry information that reflects investors’ tradeoff between diversification and skewed payoffs, particularly during periods of market stress, which may be especially relevant for gold as the traditional accepted safe haven.

Keywords: Gold futures returns, Realized volatility, Realized skewness, Forecasting, Quantile

JEL Classification: C22, C53, Q02

Suggested Citation

Bonato, Matteo and Demirer, Riza and Gupta, Rangan and Pierdzioch, Christian, Gold Futures Returns and Realized Moments: A Forecasting Experiment Using a Quantile-Boosting Approach (June 14, 2016). Available at SSRN: https://ssrn.com/abstract=2795445 or http://dx.doi.org/10.2139/ssrn.2795445

Matteo Bonato

University of Johannesburg - Department of Economics and Econometrics ( email )

P.O. Box 524
Auckland Park 2006, Johannesburg
South Africa

Valdon Group GhmB ( email )

Zurich
Germany

Riza Demirer

Southern Illinois University Edwardsville - Department of Economics & Finance ( email )

Department of Economics & Finance
Alumni Hall 3144
Edwardsville, IL 62026-1102
United States
(618) 650-2939 (Phone)
(618) 650-3047 (Fax)

HOME PAGE: http://www.siue.edu/~rdemire/

Economic Research Forum (ERF)

21 Al-Sad Al-Aaly St.
(P.O. Box: 12311)
Cairo, Cairo
Egypt

HOME PAGE: http://erf.org.eg/affiliates/riza-demirer-3/

Rangan Gupta

University of Pretoria - Department of Economics ( email )

Lynnwood Road
Hillcrest
Pretoria, 0002
South Africa

Christian Pierdzioch (Contact Author)

University of the German Federal Armed Forces - Department of Economics ( email )

Holstenhofweg 85
Hamburg, 22043
Germany

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