Forecasting China's crude oil futures volatility: New evidence from the MIDAS-RV model and COVID-19 pandemic

Zhonglu Chen, Yong Ye and Xiafei Li

Resources Policy, 2022, vol. 75, issue C

Abstract: In this study, we focus on the role of jumps and leverage in predicting the realized volatility (RV) of China's crude oil futures. We employ a standard mixed data sampling (MIDAS) modeling framework. First, the in-sample results indicate that the jump and leverage effects are useful in predicting the RV of Chinese crude oil futures. Second, the out-of-sample results suggest that jump has very significant predictive power at the one-day-ahead horizon while the leverage effect contains more useful information for long-term predictions. Moreover, our results are supported by a number of robustness checks. Finally, we find new evidence that the prediction model that considers the leverage effect has the best predictive power during the COVID-19 pandemic.

Keywords: China's crude oil futures volatility; MIDAS; Jump; Leverage effect; COVID-19 pandemic (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:75:y:2022:i:c:s030142072100461x

DOI: 10.1016/j.resourpol.2021.102453

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