Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 6, 2022 erstellt
Beschreibung:
This study analyses the prediction power of uncertainty measures, especially the cryptocurrency uncertainty indices on the long-term volatility of the gold markets. By utilising a mixed data sampling model, GARCH-MIDAS, we show that various uncertainty measures may capture different types of long-term fluctuations in gold prices. In particular, cryptocurrency policy and price uncertainties contain useful forecasting information for long-term volatility of gold markets. In light of these findings, investors, policymakers, and academics should consider the potential shocks from cryptocurrency uncertainties to the gold markets