Forecasting China's crude oil futures volatility: New evidence from the MIDAS-RV model and COVID-19 pandemic.
Resour Policy
; 75: 102453, 2022 Mar.
Article
in English
| MEDLINE | ID: covidwho-1510259
ABSTRACT
In this study, we focus on the role of jumps and leverage in predicting the realized volatility (RV) of China's crude oil futures. We employ a standard mixed data sampling (MIDAS) modeling framework. First, the in-sample results indicate that the jump and leverage effects are useful in predicting the RV of Chinese crude oil futures. Second, the out-of-sample results suggest that jump has very significant predictive power at the one-day-ahead horizon while the leverage effect contains more useful information for long-term predictions. Moreover, our results are supported by a number of robustness checks. Finally, we find new evidence that the prediction model that considers the leverage effect has the best predictive power during the COVID-19 pandemic.
Full text:
Available
Collection:
International databases
Database:
MEDLINE
Type of study:
Prognostic study
Language:
English
Journal:
Resour Policy
Year:
2022
Document Type:
Article
Affiliation country:
J.resourpol.2021.102453
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