 Forecasting crude oil market volatility: A newspaper-based predictor regarding petroleum market volatilityYixuan Song, Mengxi He, Yudong Wang and Yaojie Zhang Resources Policy, 2022, vol. 79, issue C Abstract: This paper uses the newspaper-based Equity Market Volatility (EMV) trackers to forecast crude oil market volatility. We focus on three specific EMV trackers, namely, overall EMV (OEMV), commodity EMV (CEMV), and petroleum EMV (PEMV). We find that all the EMV trackers can improve the forecasting performance of crude oil market volatility. CEMV is better than OEMV, and PEMV is the best. Furthermore, the PEMV tracker can beat many other popular uncertainty predictors. The predictive ability of the PEMV tracker is consistent in a variety of robustness checks and extensions. We demonstrate that the predictability of PEMV stems from not only the volatility index (VIX), which is well-recognized for forecasting crude oil market volatility, but also the valuable information related to petroleum. In addition, the machine learning evidence suggests that PEMV is more useful than OEMV, CEMV, and other category-specific EMV trackers. Finally, the PEMV tracker can help mean-variance investors realize the largest economic gain in an asset allocation application. Keywords: News-based equity market volatility; Crude oil market; Uncertainty; Volatility forecasting; Petroleum market volatility (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:79:y:2022:i:c:s0301420722005360 DOI: 10.1016/j.resourpol.2022.103093 Access Statistics for this article Resources Policy is currently edited by R. G. Eggert More articles in Resources Policy from Elsevier |
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