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Infectious Diseases-Related Uncertainty and the Predictability of Foreign Exchange and Bitcoin Futures Realized Volatility

Author

Listed:
  • Sisa Shiba

    (, ‡Department of Economics, University of Pretoria, Private Bag X20, Hatfield 0028, South Africa)

  • Juncal Cunado

    (��Department of Economics, University of Navarra, 20280, Pamplona, Spain)

  • Rangan Gupta

    (, ‡Department of Economics, University of Pretoria, Private Bag X20, Hatfield 0028, South Africa)

  • Samrat Goswami

    (�Department of Rural Studies, Tripura University Suryamaninagar 799022, Tripura, India)

Abstract

This paper examines the forecasting power of daily infectious disease-related uncertainty in predicting the realized volatility of nine foreign exchange futures and the Bitcoin futures series using the heterogeneous autoregressive realized variance model. Our results indicate that the infectious diseases-related uncertainty index plays a crucial role in predicting the future path of foreign exchange and Bitcoin futures realized volatility in all the selected time intervals. These findings have important implications for portfolio managers and investors during periods of high levels of uncertainty associated with infectious diseases.

Suggested Citation

  • Sisa Shiba & Juncal Cunado & Rangan Gupta & Samrat Goswami, 2023. "Infectious Diseases-Related Uncertainty and the Predictability of Foreign Exchange and Bitcoin Futures Realized Volatility," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 18(02), pages 1-14, June.
    • Handle: RePEc:wsi:afexxx:v:18:y:2023:i:02:n:s2010495222300010
    DOI: 10.1142/S2010495222300010
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    Cited by:

    1. Reganti Lavanya & Rajesh Mamilla, 2023. "Bibliometric Characteristics of Cryptocurrency through Citation Network Analysis," Advances in Decision Sciences, Asia University, Taiwan, vol. 27(2), pages 46-74, June.

    More about this item

    Keywords

    Infectious diseases-related uncertainty; foreign exchange market; Bitcoin; realized volatility; forecasting;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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