Molnar, S. Westgaard, Forecasting volatility of the US oil market, J. Bank. Finance 47 (2014) 1-14.Haugom, E., Langeland, H., Molnar, P., & Westgaard, S. (2014). Forecasting volatility of the US oil market. Jou
The crude oil market is complex and prone to geopolitical and economic shocks, which can trigger abrupt changes in crude oil prices, making the volatility of crude oil returns exhibit a jumping behaviour [2,20]. While jumps carry valuable information about the level and intensity of extreme ...
futures market as well as the characteristics of the data it generates, we utilize contracts with three months to delivery, the most liquid contract series, to systematically explore volatility forecasting for aluminum, copper, fuel oil, and sugar at the daily and three intraday sampling frequencies...
The results presented here should be of interest not only to academics but also those actively engaged in risk management practice. They suggest that the Lasso flexible lag length approach can outperform the HAR model that currently dominates volatility forecasting....
EGARCH models display the best performance in this case.doi:10.1080/13504850903084996Massimiliano MarzoPaolo ZagagliaStockholm University, Department of EconomicsApplied Economics LettersMarzo, M., Zagaglia, P., 2010. Volatility forecasting for crude oil futures. Appl. Econ. Lett. 17, 1587-1599....
In order to obtain a reasonable and reliable forecast method for crude oil price volatility, this paper evaluates the forecast performance of single-regime GARCH models (including the standard linear GARCH model and the nonlinear GJR-GARCH and EGARCH mod
In this study, we use the prevailing GARCH-MIDAS model to explore the forecasting performance of world uncertainty index (WUI) in crude oil volatility. Our empirical results indicate the WUI can outperform the economic policy uncertainty (EPU) and geopolitical risk index (GPR). Using the encompass...
(Bhowmik and Wang2020). In contrast, policymakers rely on accurate market forecasts to develop effective economic policies and mitigate the potential impact of market volatility on national economies. Fluctuations in crude oil prices, for instance, can have cascading effects on inflation, trade ...
1 Hence, modeling and predicting oil price volatility are of great interest to academics and practitioners. As a result, a substantially large number of articles investigate the predictability of oil market volatility (see, e.g., Degiannakis and Filis, 2017, Gong and Lin, 2018, Haugom et al...
the future, market participants will reduce their holdings of this risky asset. Policymakers will implement new policies to ensure the stability of this commodity. Given these reasons, modeling and forecasting the volatility of crude oil prices is critical for researchers, market participants, and ...