Uncertainties and oil price volatility: Can lasso help?

被引：0

作者：

Li, Xinyu ^{[1
]}

Wu, Meng ^{[1
]}

Yuan, Luqi ^{[1
]}

Xiao, Meng ^{[1
]}

Zhong, Ronghao ^{[1
]}

Yu, Miao ^{[1
]}

机构：

[1] China Univ Polit Sci & Law, Business Sch, Beijing, Peoples R China

来源：

FINANCE RESEARCH LETTERS | 2024年 / 61卷

关键词：

Oil price volatility; Uncertainties; Forecasting; Lasso;

D O I：

10.1016/j.frl.2023.104963

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this study, we examine the predictive ability of G7 economic policy uncertainties (EPU) on oil market volatility using simple autoregressive and LASSO models. The out-of-sample empirical results show that the EPU of France is helpful for predicting crude oil volatility (WTI and Brent). More importantly, the LASSO model including the G7 uncertainties can exhibit the best predictive performance compared to other competing models based on different tests and during COVID-19.

引用

页数：6

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