EconPapers    
Economics at your fingertips  
 

Modeling and forecasting crude oil price volatility: Evidence from historical and recent data

Thomas Lux, Mawuli Segnon and Rangan Gupta ()

No 31, FinMaP-Working Papers from Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents

Abstract: This paper uses the Markov-switching multifractal (MSM) model and generalized autoregressive conditional heteroscedasticity (GARCH)-type models to forecast oil price volatility over the time periods from January 02, 1875 to December 31, 1895 and from January 03, 1977 to March 24, 2014. Based on six different loss functions and by means of the superior predictive ability (SPA) test, we evaluate and compare their forecasting performance at short and long horizons. The empirical results indicate that none of our volatility models can uniformly outperform other models across all six different loss functions. However, the new MSM model comes out as the model that most often across forecasting horizons and subsamples cannot be outperformed by other models, with long memory GARCH-type models coming out second best.

Keywords: Crude oil prices; GARCH; Multifractal processes; SPA test (search for similar items in EconPapers)
JEL-codes: C52 C53 C22 (search for similar items in EconPapers)
Date: 2015
New Economics Papers: this item is included in nep-ene, nep-for, nep-his and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/107767/1/819805890.pdf (application/pdf)

Related works:
Working Paper: Modeling and Forecasting Crude Oil Price Volatility: Evidence from Historical and Recent Data (2015)
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:zbw:fmpwps:31

Access Statistics for this paper

More papers in FinMaP-Working Papers from Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().

 
Page updated 2021-01-30
Handle: RePEc:zbw:fmpwps:31