Forecasting China's crude oil futures volatility: How to dig out the information of other energy futures volatilities?

Daxiang Jin, Mengxi He, Lu Xing and Yaojie Zhang

Resources Policy, 2022, vol. 78, issue C

Abstract: This paper explores the predictability of China's crude oil futures volatility by considering other energy futures volatilities. Empirical results show that other energy futures volatilities can provide useful information for forecasting crude oil futures volatility both in- and out-of-sample. To further dig out predictive information from other energy futures volatilities, we employ forecast combinations and shrinkage methods. Corresponding results suggest that both forecast combinations and shrinkage methods make full use of information from other energy futures volatilities and generate more accurate forecasts of crude oil futures volatility. Furthermore, shrinkage methods have better forecasting performance than forecast combinations. Finally, the superior performance of shrinkage methods stems from their ability to accurately select other energy futures volatilities with strong predictive power.

Keywords: Crude oil; Energy futures; Volatility forecasting; Forecast combinations; Shrinkage methods (search for similar items in EconPapers)
JEL-codes: C22 C58 G17 Q47 (search for similar items in EconPapers)
Date: 2022
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/S0301420722002987
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:jrpoli:v:78:y:2022:i:c:s0301420722002987

DOI: 10.1016/j.resourpol.2022.102852

Access Statistics for this article

Resources Policy is currently edited by R. G. Eggert

More articles in Resources Policy from Elsevier
Bibliographic data for series maintained by Catherine Liu ().