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What drives the uranium sector risk? The role of attention, economic and geopolitical uncertainty

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  • Lyócsa, Štefan
  • Todorova, Neda

Abstract

Interest in nuclear energy has increased recently due to its low-carbon footprint, energy security concerns, and technological advances. Despite the recent surge in uranium stocks, there is a lack of research on uranium sector volatility. We fill this gap by analyzing the volatility of the Global X Uranium ETF (URA) from 2010 to 2024 using high-frequency data. Our analysis reveals that HAR models effectively capture URA volatility. Market-wide implied volatility and investor attention, captured by Google search volume, are found to contain valuable information for forecasting uranium sector volatility in an in-sample context. In contrast, economic and geopolitical uncertainty, as well as global financial risk, exhibit limited relevance. Although advanced models show some improvement in out-of-sample predictions, the basic HAR model remains a robust benchmark.

Suggested Citation

  • Lyócsa, Štefan & Todorova, Neda, 2024. "What drives the uranium sector risk? The role of attention, economic and geopolitical uncertainty," Energy Economics, Elsevier, vol. 140(C).
  • Handle: RePEc:eee:eneeco:v:140:y:2024:i:c:s0140988324006881
    DOI: 10.1016/j.eneco.2024.107980
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    More about this item

    Keywords

    Uranium; ETF; Nuclear energy; Realized volatility; Forecasting; Geopolitical uncertainty;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • Q47 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy Forecasting

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