Regime-switching stochastic volatility: Evidence from the crude oil market

被引:96
|
作者
Vo, Minh T. [1 ]
机构
[1] Metropolitan State Univ, Coll Management, Minneapolis, MN 55403 USA
基金
美国国家科学基金会;
关键词
Crude oil price; Regime switching; Stochastic volatility; MCMC method; Forecasting; STOCK RETURNS; TIME-SERIES; MODELS; VARIANCE; PERSISTENCE; OPTIONS;
D O I
10.1016/j.eneco.2009.05.001
中图分类号
F [经济];
学科分类号
02 ;
摘要
This paper incorporates regime-switching into the stochastic volatility (SV) framework in an attempt to explain the behavior of crude oil prices in order to forecast their volatility. More specifically, it models the volatility of oil return as a stochastic volatility process whose mean is subject to shifts in regime. The shift is governed by a two-state first-order Markov process. The Bayesian Markov Chain Monte Carlo method is used to estimate the models. The main findings are: first, there is clear evidence of regime-switching in the oil market. Ignoring it will lead to a false impression that the volatility is highly persistent and therefore highly predictable. Second. incorporating regime-switching into the SV framework significantly enhances the forecasting power of the SV model. Third. the regime-switching stochastic volatility model does a good job in capturing major events affecting the oil market. (C) 2009 Elsevier B.V. All rights reserved.
引用
收藏
页码:779 / 788
页数:10
相关论文
共 50 条
  • [1] Detection of volatility regime-switching for crude oil price modeling and forecasting
    Liu, Yue
    Sun, Huaping
    Zhang, Jijian
    Taghizadeh-Hesary, Farhad
    [J]. RESOURCES POLICY, 2020, 69
  • [2] A Markov regime-switching model of crude oil market integration
    Kuck, Konstantin
    Schweikert, Karsten
    [J]. JOURNAL OF COMMODITY MARKETS, 2017, 6 : 16 - 31
  • [3] Impact of financial instability on international crude oil volatility: New sight from a regime-switching framework
    Hong, Yanran
    Wang, Lu
    Liang, Chao
    Umar, Muhammad
    [J]. RESOURCES POLICY, 2022, 77
  • [4] Momentum and market volatility: a Bayesian regime-switching model
    Cao, Jia
    Copeland, Laurence
    [J]. EUROPEAN JOURNAL OF FINANCE, 2023, 29 (05): : 483 - 507
  • [5] Forecasting stock market volatility with regime-switching GARCH models
    Marcucci, J
    [J]. STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS, 2005, 9 (04):
  • [6] Exploring the nexus between monetary uncertainty and volatility in global crude oil: A contemporary approach of regime-switching
    Yu, Mengyan
    Umair, Muhammad
    Oskenbayev, Yessengali
    Karabayeva, Zhansaya
    [J]. RESOURCES POLICY, 2023, 85
  • [7] Regime-Switching Behaviour in the Conditional Volatility of MENA Stock Market Returns
    Bahloul, Slah
    Abid, Fathi
    [J]. JOURNAL OF EMERGING MARKET FINANCE, 2014, 13 (03) : 253 - 278
  • [8] VOLATILITY ANALYSIS OF REGIME-SWITCHING MODELS
    Liu, Yue
    Xie, Zhuyun
    Yao, Jingjing
    Li, Kaodui
    [J]. PROBABILITY IN THE ENGINEERING AND INFORMATIONAL SCIENCES, 2021, 35 (04) : 928 - 941
  • [9] Detection of structural regimes and analyzing the impact of crude oil market on Canadian stock market: Markov regime-switching approach
    Mahmoudi, Mohammadreza
    Ghaneei, Hana
    [J]. STUDIES IN ECONOMICS AND FINANCE, 2022, 39 (04) : 722 - 734
  • [10] Renewable energy investment under stochastic interest rate with regime-switching volatility
    Detemple, Jerome
    Kitapbayev, Yerkin
    Reppen, A. Max
    [J]. ENERGY ECONOMICS, 2024, 136