Does the OVX matter for volatility forecasting? Evidence from the crude oil market

Wendai Lv

Physica A: Statistical Mechanics and its Applications, 2018, vol. 492, issue C, 916-922

Abstract: In this paper, I investigate that whether the OVX and its truncated parts with a certain threshold can significantly help in forecasting the oil futures price volatility basing on the Heterogeneous Autoregressive model of Realized Volatility (HAR-RV). In-sample estimation results show that the OVX has a significantly positive impact on futures volatility. The impact of large OVX on future volatility has slightly powerful compared to the small ones. Moreover, the HARQ-RV model outperforms the HAR-RV in predicting the oil futures volatility. More importantly, the decomposed OVX have more powerful in forecasting the oil futures price volatility compared to the OVX itself.

Keywords: Volatility forecasting; Oil futures price; OVX; MCS (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (22)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437117310932
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

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:phsmap:v:492:y:2018:i:c:p:916-922

DOI: 10.1016/j.physa.2017.11.021

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().