What drives the uranium sector risk? The role of attention, economic and geopolitical uncertainty

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. • First study to analyze uranium sector volatility. • High-frequency data based in- and out-of-sample analysis of Global X Uranium ETF. • VIX and Google search volume relevant in-sample for uranium sector risk (URA). • Geopolitical and financial risk proxies of limited relevance.