Forecasting oil price volatility using spillover effects from uncertainty indices

Ioannis Chatziantoniou, Stavros Degiannakis, Panagiotis Delis and George Filis

Finance Research Letters, 2021, vol. 42, issue C

Abstract: We consider spillovers between oil price volatility and key uncertainty indicators and we extend the applicability of the spillover index beyond economic inference, by generating forecasts of oil price volatility. The paper shows that spillovers do not contain significant predictive information, raising critical questions regarding the usefulness of the spillover index for forecasting exercises at low sampling frequency.

Keywords: Uncertainty; oil price volatility; forecasting accuracy; spillover effects (search for similar items in EconPapers)
JEL-codes: C22 C32 C53 Q47 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (15)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:42:y:2021:i:c:s1544612320316998

DOI: 10.1016/j.frl.2020.101885

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