A note on investor happiness and the predictability of realized volatility of gold

Abstract We apply the heterogeneous autoregressive realized volatility (HAR-RV) model to examine importance of investor happiness in predicting daily gold returns. estimate by employing intraday data providing both in-sample and out-of-sample predictions. Our results reveal that is negatively linked happiness. Moreover, our show extending HAR-RV include significantly improves accuracy forecasts at short- medium-run forecast horizons.