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A boosting approach to forecasting the volatility of gold-price fluctuations under flexible loss

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  • Pierdzioch, Christian
  • Risse, Marian
  • Rohloff, Sebastian

Abstract

We use a boosting approach to study the time-varying out-of-sample informational content of various financial and macroeconomic variables for forecasting the volatility of gold-price fluctuations. We use an out-of-sample R2 statistic to evaluate forecasts as a function of the shape of a forecaster's loss function. We show that, when compared to an autoregressive benchmark forecast, those forecasters tend to benefit from using predictions implied by the boosting approach who encounter a larger loss when underestimating rather than overestimating the future volatility of gold-price fluctuations. We use a simulation experiment to study the significance of this benefit.

Suggested Citation

  • Pierdzioch, Christian & Risse, Marian & Rohloff, Sebastian, 2016. "A boosting approach to forecasting the volatility of gold-price fluctuations under flexible loss," Resources Policy, Elsevier, vol. 47(C), pages 95-107.
  • Handle: RePEc:eee:jrpoli:v:47:y:2016:i:c:p:95-107
    DOI: 10.1016/j.resourpol.2016.01.003
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    More about this item

    Keywords

    Volatility of gold-price fluctuations; Forecasting; Boosting approach;

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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