 Is investor sentiment stronger than VIX and uncertainty indices in predicting energy volatility?Zhonglu Chen, Chao Liang and Muhammad Umar Resources Policy, 2021, vol. 74, issue C Abstract: This paper investigates whether investor sentiment has stronger predictive power than VIX and uncertainty indices in predicting the realized volatility (RV) of energy assets. The five representative energy assets we consider are natural gas spot and futures, WTI oil spot and futures, and Brent oil spot. Several significant findings appear. First, the in-sample results suggest that VIX has a significantly positive impact on the five energy assets and investor sentiment has a significantly positive impact only for WTI oil futures and spot. Second, the out-of-sample results show that investor sentiment performs best predictions for the RV of three crude oil-related assets, followed by VIX, however, they have almost no predictive ability on natural gas futures and spot. Third, the use of VIX can increase economic returns for natural gas spot, and the use of investor sentiment can achieve higher economic returns for three crude oil-related assets. Finally, the results are supported by numerous robustness checks. Keywords: Energy volatility; Forecasting; Investor sentiment; VIX; Uncertainty index (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:74:y:2021:i:c:s0301420721004001 DOI: 10.1016/j.resourpol.2021.102391 Access Statistics for this article Resources Policy is currently edited by R. G. Eggert More articles in Resources Policy from Elsevier |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.