Publication details
What drives the uranium sector risk? The role of attention, economic and geopolitical uncertainty
| Authors | |
|---|---|
| Year of publication | 2024 |
| Type | Peer-reviewed scientific article |
| Magazine / Source | Energy Economics |
| MU Faculty or unit | |
| Citation | |
| web | https://www.sciencedirect.com/science/article/pii/S0140988324006881 |
| Doi | https://doi.org/10.1016/j.eneco.2024.107980 |
| Keywords | Uranium; ETF; Nuclear Energy; Realized volatility; Forecasting; Geopolitical Uncertainty |
| Attached files | |
| Description | 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. |
| Related projects: |