EconPapers    
Economics at your fingertips  
 

Oil Tail Risks and the Forecastability of the Realized Variance of Oil-Price: Evidence from Over 150 Years of Data

Afees Salisu, Christian Pierdzioch and Rangan Gupta

No 202146, Working Papers from University of Pretoria, Department of Economics

Abstract: We examine the predictive value of tail risks of oil returns for the realized variance of oil returns using monthly data for the modern oil industry (1859:10-2020:10). The Conditional Autoregressive Value at Risk (CAViaR) framework is employed to generate the tail risks for both 1% and 5% VaRs across four variants of the CAViaR framework. We find evidence of both in-sample and out-of-sample predictability emanating from both 1% and 5% tail risks. Given the importance of real-time oil-price volatility forecasts, our results have important implications for investors and policymakers.

Keywords: Oil Tail Risks; Realized Variance of Oil-Price; Forecasting (search for similar items in EconPapers)
JEL-codes: C22 C53 Q02 (search for similar items in EconPapers)
Pages: 12 pages
Date: 2021-06
New Economics Papers: this item is included in nep-cwa, nep-ene, nep-ore and nep-rmg
References: Add references at CitEc
Citations: View citations in EconPapers (1)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Oil tail risks and the forecastability of the realized variance of oil-price: Evidence from over 150 years of data (2022) Downloads
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:pre:wpaper:202146

Access Statistics for this paper

More papers in Working Papers from University of Pretoria, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Rangan Gupta (rangan.gupta@up.ac.za).

 
Page updated 2024-12-28
Handle: RePEc:pre:wpaper:202146