Global economic policy uncertainty and oil futures volatility prediction

Ling Zhao

Finance Research Letters, 2023, vol. 54, issue C

Abstract: 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.

Keywords: Global economic policy uncertainty; Oil futures volatility; Regime switching; Volatility forecasting (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612323000673
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323000673

DOI: 10.1016/j.frl.2023.103693

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().