A Note on Forecasting the Historical Realized Variance of Oil-Price Movements: The Role of Gold-to-Silver and Gold-to-Platinum Price Ratios

We examine the predictive value of gold-to-silver and gold-to-platinum price ratios, as proxies for global risks affecting realized variance (RV) oil-price movements, using monthly data over longest available periods 1915:01–2021:03 1968:01–2021:03, respectively. Using two we find statistically significant evidence in-sample predictability increases in RV both ratios. This finding also translates into out-of-sample forecasting gains derived from these ratios RV. Given importance real-time forecasts volatility our results have important implications investors policymakers.