A boosting approach to forecasting the volatility of gold-price fluctuations under flexible loss. (March 2016)

• Record Type: Journal Article
• Authors: Pierdzioch, Christian; Risse, Marian; Rohloff, Sebastian
• Is Part Of: Resources policy. Volume 47(2016)
• Page Start: 95
• Page End: 107
• Publication Date: 2016-03
• Subjects: C53 -- E44; Volatility of gold-price fluctuations -- Forecasting -- Boosting approach; Mines and mineral resources -- Periodicals; Ressources minérales -- Périodiques; Ressources naturelles -- Gestion -- Périodiques; Environnement -- Politique gouvernementale -- Périodiques; 333.8
• DOI: 10.1016/j.resourpol.2016.01.003
• Languages: English
• ISSNs: 0301-4207

Abstract

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 R 2 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. Abstract : Highlights: We use a boosting approach to forecast the volatility of gold-price fluctuations. We use different asymmetric loss functions to evaluate forecasts. Forecasters benefit from forecasts when underestimation is costlier than overestimation. We use simulations to assess the significance of benefits.