IDEAS home Printed from
   My bibliography  Save this article

Time-varying risk aversion and realized gold volatility


  • Demirer, Riza
  • Gkillas, Konstantinos
  • Gupta, Rangan
  • Pierdzioch, Christian


We study the in- and out-of-sample predictive value of time-varying risk aversion for realized volatility of gold returns via extended heterogeneous autoregressive realized volatility (HAR-RV) models. Our findings suggest that time-varying risk aversion possesses predictive value for gold volatility both in- and out-of-sample. Time-varying risk aversion is found to absorb the in-sample predictive power of n index of economic policy uncertainty at a short forecasting horizon. We also study the out-of-sample predictive power of time-varying risk aversion in the presence of realized higher-moments, jumps, gold returns, a leverage effect as well as an index of economic policy uncertainty in the forecasting model. In addition, we study the role of the shape of the loss function used to evaluate losses from forecast errors for the role of time-varying risk aversion as a predictor of realized volatility. Overall, our findings show that time-varying risk aversion often captures information useful for out-of-sample prediction of realized volatility not already contained in the other predictors.

Suggested Citation

  • Demirer, Riza & Gkillas, Konstantinos & Gupta, Rangan & Pierdzioch, Christian, 2019. "Time-varying risk aversion and realized gold volatility," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
  • Handle: RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818306399
    DOI: 10.1016/j.najef.2019.101048

    Download full text from publisher

    File URL:
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to search for a different version of it.


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818306399. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.