Crude oil volatility forecasting: New evidence from world uncertainty index

Zhigang Yao and Yao Liu

Finance Research Letters, 2023, vol. 58, issue PA

Abstract: 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.

Keywords: Crude oil volatility; World uncertainty index; Economic policy uncertainty (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612323004014
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:58:y:2023:i:pa:s1544612323004014

DOI: 10.1016/j.frl.2023.104029

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 ().