Predicting the volatility of crude oil futures: The roles of leverage effects and structural changes
Xu Gong and
Boqiang Lin ()
International Journal of Finance & Economics, 2022, vol. 27, issue 1, 610-640
This paper investigates whether leverage effects and structural changes have positive effects on the volatility prediction of crude oil futures. On the basis of existing HAR models, this paper proposes three classes of new HAR models by considering leverage effects, structural changes, or both. The in‐sample and out‐of‐sample results show that leverage effects and structural changes contain significant information for predicting oil volatility. In most cases, structural changes have more in‐sample and out‐of‐sample incremental information than leverage effect, whereas leverage effects have more out‐of‐sample information for predicting 1‐day volatility. In addition, HAR models with leverage effects and structural changes have better in‐sample and out‐of‐sample performances than the corresponding other three classes of HAR models. The above results mean that leverage effects and structural changes should be considered while modelling and forecasting oil volatility.
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:wly:ijfiec:v:27:y:2022:i:1:p:610-640
Ordering information: This journal article can be ordered from
http://jws-edcv.wile ... PRINT_ISSN=1076-9307
Access Statistics for this article
International Journal of Finance & Economics is currently edited by Mark P. Taylor, Keith Cuthbertson and Michael P. Dooley
More articles in International Journal of Finance & Economics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().