The value of cross market volatility in improving the forecast accuracy of risk in the gold, the dollar and the oil futures markets

The gold, the oil and the dollar are related due to many factors. As a result, co-movement and volatility linkages may be established. These then can be exploited to improve risk prediction, and this is the main aim of this paper. We find that the dollar volatility improves risk forecasts of oil and gold. The predictability of the dollar, the gold and the oil is found to be period related though it is more pronounced during crisis periods. These results highlight the importance of cross market dependence in forecasting the volatility of related markets.