Zhang, Zheng; Raza, Muhammad Yousaf; Wang, Wenxue; Sui, Lu - 2023
This paper explores the predictive ability of volatility in the crude oil market. A comparison in the CBOE crude oil volatility index (OVX), GARCH and Stochastic Volatility Models are employed to investigate the forecasting performance. The daily price dataset, spanning from 2010 to 2022,...