IDEAS home Printed from https://ideas.repec.org/a/wly/jfutmk/v45y2025i8p1006-1022.html
   My bibliography  Save this article

Role of Economic Policy Uncertainty in Forecasting Gold Futures Volatility: Evidence From India

Author

Listed:
  • Simran
  • Anil Kumar Sharma

Abstract

Gold's status as a safe‐haven asset has gained prominence amid rising economic policy uncertainty (EPU). This study examines the impact of EPU on the volatility of the Indian gold futures market using the advanced methodology of GARCH–MIDAS, which accommodates mixed frequency variables. The findings of the study demonstrate that long‐term volatility of gold futures in India is influenced by both domestic and global EPU (GEPU), with domestic EPU having a greater impact. Also, the study establishes that domestic EPU serves as a superior predictor of Indian gold futures volatility than GEPU. The results indicate that Indian Investors might be more sensitive to domestic policy uncertainty shocks than to GEPU shocks. The study offers valuable insights for gold futures market participants, assisting investors and traders in managing market volatility, and also holds significance for government officials and policymakers.

Suggested Citation

  • Simran & Anil Kumar Sharma, 2025. "Role of Economic Policy Uncertainty in Forecasting Gold Futures Volatility: Evidence From India," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(8), pages 1006-1022, August.
    • Handle: RePEc:wly:jfutmk:v:45:y:2025:i:8:p:1006-1022
    DOI: 10.1002/fut.22600
    as

    Download full text from publisher

    File URL: https://doi.org/10.1002/fut.22600
    Download Restriction: no
    File URL: https://libkey.io/10.1002/fut.22600?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    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:wly:jfutmk:v:45:y:2025:i:8:p:1006-1022. See general information about how to correct material in RePEc.

    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 bibliographic 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.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.interscience.wiley.com/jpages/0270-7314/ .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.