Do Jumps and Co-jumps Improve Volatility Forecasting of Oil and Currency Markets?

Fredj Jawadi, Waël Louhichi, Hachmi Ben Ameur and Zied Ftiti

The Energy Journal, 2019, vol. 40, issue 2_suppl, 131-156

Abstract: This paper aims at modeling and forecasting volatility in both oil and USD exchange rate markets using high frequency data. We test whether extreme co-move-ments (co-jumps) between these markets, as well as intraday unexpected news, help to improve volatility forecasting or not. Accordingly, we propose different extensions of Corsi (2009)’s model by including co-jumps and news. Our analysis provides two interesting findings. First, we find that both markets exhibit significant co-jumps driven by unexpected macroeconomic news. Second, we show that our model outperforms Corsi (2009)’s model and provides more accurate forecasts. In particular, while co-jumps constitute a key variable in forecasting oil price volatility, the unexpected news is relevant to forecasts of USD exchange rate volatility.

Keywords: Volatility; Oil price; U.S. dollar exchange rate; Co-jumps; Forecasts (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://journals.sagepub.com/doi/10.5547/01956574.40.SI2.fjaw (text/html)

Related works:
Journal Article: Do Jumps and Co-jumps Improve Volatility Forecasting of Oil and Currency Markets? (2019)
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:sae:enejou:v:40:y:2019:i:2_suppl:p:131-156

DOI: 10.5547/01956574.40.SI2.fjaw

Access Statistics for this article

More articles in The Energy Journal
Bibliographic data for series maintained by SAGE Publications ().