Forecasting Oil Price Volatility: Does Oil Price Uncertainty Matter?

A. Triantafyllou (), N. Vlastakis and N. Kellard
Additional contact information
A. Triantafyllou: Audencia Business School

Post-Print from HAL

Abstract: In this paper, we empirically examine the predictive power of oil price uncertainty on time‐varying volatility in the oil futures market. Quantifying oil price uncertainty as the purely unforecastable component of oil price changes, we find this measure has significant predictive power on the return volatility of crude oil futures for horizons up to 9 months ahead. Moreover, our oil price uncertainty factor outperforms the realized oil price volatility. In addition, our structural vector autoregression model shows that the effect of oil price uncertainty shock on oil‐market volatility is higher in magnitude and persistence when compared with the effect of aggregate demand, oil demand, supply, and oil price volatility shocks.

Keywords: Oil futures market; oil supply shocks; uncertainty; volatility forecasting (search for similar items in EconPapers)
Date: 2025-07
Note: View the original document on HAL open archive server: https://hal.science/hal-05302705v1
References: Add references at CitEc
Citations:

Published in Journal of Futures Markets, 2025, 45 (7), pp.817-830. ⟨10.1002/fut.22592⟩

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

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:hal:journl:hal-05302705

DOI: 10.1002/fut.22592

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().