Global economic policy uncertainty and oil futures volatility prediction

被引：4
|
作者：
Zhao, Ling [1 ]
机构：
[1] Southwest Jiaotong Univ Hope Coll, Business Sch, Chengdu, Peoples R China
来源：
FINANCE RESEARCH LETTERS | 2023年 / 54卷
关键词：
Global economic policy uncertainty; Oil futures volatility; Regime switching; Volatility forecasting;
D O I：
10.1016/j.frl.2023.103693
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper mainly investigates whether the information of global policy uncertainty index (GEPU) index can predict oil futures volatility based on MIDAS-type models. The results show that GEPU can efficiently predict oil futures volatility. In addition, the MIDAS model with regime switching and GEPU can further improve the forecasting accuracy of the models. This paper tries to provide new evidence of global economic policy uncertainty for oil futures volatility.
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页数：6
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