1,091
Views
78
CrossRef citations to date
0
Altmetric
Articles

Forecasting realized volatility of crude oil futures with equity market uncertainty

ORCID Icon, , &

References

  • Ajmi, A. N., G. C. Aye, M. Balcilar, G. El Montasser, and R. Gupta. 2015. “Causality between Us Economic Policy and Equity Market Uncertainties: Evidence from Linear and Nonlinear Tests.” Journal of Applied Economics 18: 2. doi:10.1016/S1514-0326(15)30010-6.
  • Aloui, R., R. Gupta, and S. M. Miller. 2016. “Uncertainty and Crude Oil Returns.” Energy Economics 55: 92–100. doi:10.1016/j.eneco.2016.01.012.
  • Andersen, T. G., and T. Bollerslev. 1998. “Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts.” International Economic Review 39: 885–905. doi:10.2307/2527343.
  • Andersen, T. G., T. Bollerslev, and F. X. Diebold. 2007. “Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility.” The Review of Economics and Statistics 89 (4): 701–720. doi:10.1162/rest.89.4.701.
  • Andersen, T. G., T. Bollerslev, and X. Huang. 2011. “A Reduced Form Framework for Modeling Volatility of Speculative Prices Based on Realized Variation Measures.” Journal of Econometrics 160 (1): 176–189. doi:10.1016/j.jeconom.2010.03.029.
  • Antonakakis, N., I. Chatziantoniou, and G. Filis. 2014. “Dynamic Spillovers of Oil Price Shocks and Economic Policy Uncertainty.” Energy Economics 44: 433–447. doi:10.1016/j.eneco.2014.05.007.
  • Baker, S. R., N. Bloom, and S. J. Davis. 2016. “Measuring Economic Policy Uncertainty.” The Quarterly Journal of Economics 131 (4): 1593–1636. doi:10.1093/qje/qjw024.
  • Balcilar, M., S. Bekiros, and R. Gupta. 2017. “The Role of News-Based Uncertainty Indices in Predicting Oil Markets: A Hybrid Nonparametric Quantile Causality Method.” Empirical Economics 53(3): 879–889. 10.1007/s00181-016-1150-0.
  • Barndorff-Nielsen, O. E., and N. Shephard. 2004. “Power and Bipower Variation with Stochastic Volatility and Jumps.” Journal of Financial Econometrics 2 (1): 1–37. doi:10.1093/jjfinec/nbh001.
  • Barndorff-Nielsen, O. E., and N. Shephard. 2006. “Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation.” Journal of Financial Econometrics 4 (1): 1–30. doi:10.1093/jjfinec/nbi022.
  • Barndorff-Nielsen, O. E., S. Kinnebrock, and N. Shephard 2008. “Measuring Downside Risk-Realised Semivariance.” Working paper. doi: 10.2139/ssrn.1262194.
  • Baumeister, C., and G. Peersman. 2013. “The Role of Time‐Varying Price Elasticities in Accounting for Volatility Changes in the Crude Oil Market.” Journal of Applied Econometrics 28 (7): 1087–1109. doi:10.1002/jae.2283.
  • Bauwens, L., and E. Otranto. 2016. “Modeling the Dependence of Conditional Correlations on Market Volatility.” Journal of Business & Economic Statistics 34 (2): 254–268. doi:10.1080/07350015.2015.1037882.
  • Bekiros, S., R. Gupta, and A. Paccagnini. 2015. “Oil Price Forecastability and Economic Uncertainty.” Economics Letters 132: 125–128. doi:10.1016/j.econlet.2015.04.023.
  • Bonaccolto, G., M. Caporin, and R. Gupta. 2018. “The Dynamic Impact of Uncertainty in Causing and Forecasting the Distribution of Oil Returns and Risk.” Physica A: Statistical Mechanics and Its Applications 507: 446–469. doi:10.1016/j.physa.2018.05.061.
  • Chang, C. L., M. McAleer, and R. Tansuchat. 2010. “Analyzing and Forecasting Volatility Spillovers, Asymmetries and Hedging in Major Oil Markets.” Energy Economics 32 (6): 1445–1455. doi:10.1016/j.eneco.2010.04.014.
  • Chen, S. S. 2014. “Forecasting Crude Oil Price Movements with Oil‐Sensitive Stocks.” Economic Inquiry 52 (2): 830–844. doi:10.1111/ecin.12053.
  • Corsi, F. 2009. “A Simple Approximate Long-Memory Model of Realized Volatility.” Journal of Financial Econometrics 7 (2): 174–196. doi:10.1093/jjfinec/nbp001.
  • Degiannakis, S., and G. Filis. 2017. “Forecasting Oil Price Realized Volatility Using Information Channels from Other Asset Classes.” Journal of International Money and Finance 76: 28–49. doi:10.1016/j.jimonfin.2017.05.006.
  • Dhaoui, A., and N. Khraief 2014. “Empirical Linkage between Oil Price and Stock Market Returns and Volatility: Evidence from International Developed markets[R] (No. 2014-12).” Economics Discussion Papers.
  • Filis, G. 2010. “Macro Economy, Stock Market and Oil Prices: Do Meaningful Relationships Exist among Their Cyclical Fluctuations?” Energy Economics 32 (4): 877–886. doi:10.1016/j.eneco.2010.03.010.
  • Finta, M. A., B. Frijns, and A. Tourani-Rad. 2019. “Volatility Spillovers among Oil and Stock Markets in the US and Saudi Arabia.” Applied Economics 51 (4): 329–345. doi:10.1080/00036846.2018.1494811.
  • Gong, X., and B. Lin. 2017. “Forecasting the Good and Bad Uncertainties of Crude Oil Prices Using a HAR Framework.” Energy Economics 67: 315–327. doi:10.1016/j.eneco.2017.08.035.
  • Gong, X., and B. Lin. 2018a. “The Incremental Information Content of Investor Fear Gauge for Volatility Forecasting in the Crude Oil Futures Market.” Energy Economics 74: 370–386. doi:10.1016/j.eneco.2018.06.005.
  • Gong, X., and B. Lin. 2018b. “Structural Breaks and Volatility Forecasting in the Copper Futures Market.” Journal of Futures Markets 38 (3): 290–339. doi:10.1002/fut.21867.
  • Gong, X., Z. He, P. Li, and N. Zhu. 2014. “Forecasting Return Volatility of the CSI 300 Index Using the Stochastic Volatility Model with Continuous Volatility and Jumps.” Discrete Dynamics in Nature and Society 2014. doi:10.1155/2014/964654.
  • Hamilton, J. D. 2009. “Causes and Consequences of the Oil Shock of 2007-08[R] (No. W15002).” National Bureau of Economic Research. doi:10.3386/w15002.
  • Hansen, P. R., A. Lunde, and J. M. Nason. 2011. “The Model Confidence Set.” Econometrica 79 (2): 453–497. doi:10.3982/ECTA5771.
  • Haugom, E., H. Langeland, P. Molnár, and S. Westgaard. 2014. “Forecasting Volatility of the US Oil Market.” Journal of Banking & Finance 47: 1–14. doi:10.1016/j.jbankfin.2014.05.026.
  • He, Z., L. He, and F. Wen. 2019. “Risk Compensation and Market Returns: The Role of Investor Sentiment in The Stock Market.” Emerging Markets Finance and Trade 55 (3): 704–718. doi:10.1080/1540496X.2018.1460724.
  • Hu, C., X. Liu, B. Pan, B. Chen, and X. Xia. 2018. “Asymmetric Impact of Oil Price Shock on Stock Market in China: A Combination Analysis Based on SVAR Model and NARDL Model.” Emerging Markets Finance and Trade 54 (8): 1693–1705. doi:10.1080/1540496X.2017.1412303.
  • Huang, C., X. Gong, X. Chen, and F. Wen. 2013. “Measuring and Forecasting Volatility in Chinese Stock Market Using HAR-CJ-M Model.” In Abstract and Applied Analysis (Vol 2013 (Hindawi). doi:10.1155/2013/143194.
  • Huang, X., and G. Tauchen. 2005. “The Relative Contribution of Jumps to Total Price Variance.” Journal of Financial Econometrics 3 (4): 456–499. doi:10.1093/jjfinec/nbi025.
  • Jebran, K., S. Chen, G. Saeed, and A. Zeb. 2017. “Dynamics of Oil Price Shocks and Stock Market Behavior in Pakistan: Evidence from the 2007 Financial Crisis Period.” Financial Innovation 3 (1): 2. doi:10.1186/s40854-017-0052-2.
  • Kang, W., and R. A. Ratti. 2013. “Oil Shocks, Policy Uncertainty and Stock Market Return.” Journal of International Financial Markets, Institutions and Money 26: 305–318. doi:10.1016/j.intfin.2013.07.001.
  • Kang, W., R. A. Ratti, and K. H. Yoon. 2015. “The Impact of Oil Price Shocks on the Stock Market Return and Volatility Relationship.” Journal of International Financial Markets, Institutions and Money 34: 41–54. doi:10.1016/j.intfin.2014.11.002.
  • Kilian, L. 2009. “Comment on ‘Causes and Consequences of the Oil Shock of 2007-08ʹby James D. Hamilton.” Brookings Papers on Economic Activity 1 (2009): 267–278.
  • Koopman, S. J., A. Lucas, and M. Scharth. 2016. “Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models.” Review of Economics and Statistics 98 (1): 97–110. doi:10.1162/REST_a_00533.
  • Li, L., L. Yin, and Y. Zhou. 2016. “Exogenous Shocks and The Spillover Effects between Uncertainty and Oil Price.” Energy Economics 54: 224-234. doi: 10.1016/j.eneco.2015.11.017.
  • Liu, L. Y., A. J. Patton, and K. Sheppard. 2015. “Does Anything Beat 5-minute Rv? A Comparison Of Realized Measures across Multiple Asset Classes.” Journal of Econometrics 187 (1): 293–311. doi:10.1016/j.jeconom.2015.02.008.
  • Ma, F., M. I. M. Wahab, J. Liu, and L. Liu. 2018. “Is Economic Policy Uncertainty Important to Forecast the Realized Volatility of Crude Oil Futures?” Applied Economics 50 (18): 2087–2101. doi:10.1080/00036846.2017.1388909.
  • Marzo, M., and P. Zagaglia. 2010. “Volatility Forecasting for Crude Oil Futures.” Applied Economics Letters 17 (16): 1587–1599. doi:10.1080/13504850903084996.
  • Mensi, W., S. Hammoudeh, S. J. H. Shahzad, and M. Shahbaz. 2017. “Modeling Systemic Risk and Dependence Structure between Oil and Stock Markets Using a Variational Mode Decomposition-Based Copula Method.” Journal of Banking & Finance 75: 258–279. doi:10.1016/j.jbankfin.2016.11.017.
  • Müller, U. A., M. M. Dacorogna, R. D. Davé, O. V. Pictet, R. B. Olsen, and J. R. Ward 1993. “Fractals and Intrinsic Time: A Challenge to Econometricians.” Unpublished manuscript, Olsen & Associates, Zürich.
  • Patton, A. J., and K. Sheppard. 2015. “Good Volatility, Bad Volatility: Signed Jumps and the Persistence of Volatility.” Review of Economics and Statistics 97 (3): 683–697. doi:10.1162/REST_a_00503.
  • Sadorsky, P. 2006. “Modeling and Forecasting Petroleum Futures Volatility.” Energy Economics 28 (4): 467–488. doi:10.1016/j.eneco.2006.04.005.
  • Sévi, B. 2014. “Forecasting the Volatility of Crude Oil Futures Using Intraday Data.” European Journal of Operational Research 235 (3): 643–659. doi:10.1016/j.ejor.2014.01.019.
  • Uzo-Peters, A., T. Laniran, and A. Adenikinju. 2018. “Brent Prices and Oil Stock Behaviors: Evidence from Nigerian Listed Oil Stocks.” Financial Innovation 4 (1): 8. doi:10.1186/s40854-018-0092-2.
  • Vo, M. T. 2009. “Regime-Switching Stochastic Volatility: Evidence from the Crude Oil Market.” Energy Economics 31 (5): 779–788. doi:10.1016/j.eneco.2009.05.001.
  • Wei, Y., Y. Wang, and D. Huang. 2010. “Forecasting Crude Oil Market Volatility: Further Evidence Using GARCH-class Models.” Energy Economics 32 (6): 1477–1484. doi:10.1016/j.eneco.2010.07.009.
  • Wen, F., J. Xiao, C. Huang, and X. Xia. 2018. “Interaction between Oil and US Dollar Exchange Rate: Nonlinear Causality, Time-Varying Influence and Structural Breaks in Volatility.” Applied Economics 50 (3): 319–334. doi:10.1080/00036846.2017.1321838.
  • Wen, F., X. Gong, and S. Cai. 2016. “Forecasting the Volatility of Crude Oil Futures Using HAR-type Models with Structural Breaks.” Energy Economics 59: 400–413. doi:10.1016/j.eneco.2016.07.014.
  • Wen, F., Z. He, D. Zhi., and X. Yang. 2014. “Characteristics of Investors’ Risk Preference for Stock Markets.” Economic Computation & Economic Cybernetics Studies & Research 48: 3.
  • Yousaf, I., S. Ali, and S. Z. A. Shah. 2018. “Herding Behavior in Ramadan and Financial Crises: The Case of the Pakistani Stock Market.” Financial Innovation 4 (1): 16. doi:10.1186/s40854-017-0052-2.
  • Zhu, H., Y. Guo, and W. You. 2015. “An Empirical Research of Crude Oil Price Changes and Stock Market in China: Evidence from the Structural Breaks and Quantile Regression.” Applied Economics 47 (56): 6055–6074. doi:10.1080/00036846.2015.1064076.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.