Crude oil volatility forecasting: New evidence from world uncertainty index

被引：5
|
作者：
Yao, Zhigang [1 ]
Liu, Yao [1 ]
机构：
[1] Sichuan Coll Architectural Technol, Dept Econ Management, Chengdu, Peoples R China
来源：
FINANCE RESEARCH LETTERS | 2023年 / 58卷
关键词：
Crude oil volatility; World uncertainty index; Economic policy uncertainty; STOCK RETURNS;
D O I：
10.1016/j.frl.2023.104029
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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 encompassing test, our study provides strong evidences that the predictive content from WUI can encompass the EPU and GPR in predicting crude oil volatility.
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页数：4
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