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Oil futures volatility predictability: New evidence based on machine learning models11All the authors contribute to the paper equally

Xinjie Lu, Feng Ma, Jin Xu and Zehui Zhang

International Review of Financial Analysis, 2022, vol. 83, issue C

Abstract: This paper comprehensively examines the connection between oil futures volatility and the financial market based on a model-rich environment, which contains traditional predicting models, machine learning models, and combination models. The results highlight the efficiency of machine learning models for oil futures volatility forecasting, particularly the ensemble models and neural network models. Most interestingly, we consider the “forecast combination puzzle” in machine learning models, and find that combination models continue to have more satisfactory performances in all types of situations. We also discuss the model interpretability and each indicator's contribution to the prediction. Our paper provides new insights for machine learning methods' applications in futures market volatility prediction, which is helpful for academics, policy-makers, and investors.

Keywords: Machine learning; Combination forecast; Realized volatility; Oil futures market; Crisis periods (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002538

DOI: 10.1016/j.irfa.2022.102299

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