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Volatility predictability in crude oil futures : evidence based on OVX, GARCH and stochastic volatility models
Zhang, Zheng; Raza, Muhammad Yousaf; Wang, Wenxue; Sui, Lu - In: Energy strategy reviews 50 (2023), pp. 1-12
The paper examines the volatility predictive ability of the CBOE crude oil volatility index (OVX), GARCH and Stochastic Volatility Models in the crude oil market. Specifically, the dynamics of two major crude oil pricing benchmarks - Brent in Europe and WTI in America are compared. OVX index is...
Persistent link: https://www.econbiz.de/10014574074
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Can Crude Oil Futures Predict Spot Retail Unleaded Gasoline Prices?
Ginn, Vance - 2017
The motivation for this paper began with casual empiricisms regarding the brief distributed lag of retail gasoline … consistent and efficient estimator of the actual gasoline prices over most of our sample period. However, random shocks to … gasoline prices, like Hurricane Ike in 2008, cause the model to have problems accurately predicting gas prices. We conclude …
Persistent link: https://www.econbiz.de/10012975009
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Forecasting Realized Volatility of Crude Oil Futures Prices based on Machine Learning
Luo, Jiawen; Ji, Qiang; Klein, Tony; Walther, Thomas - 2021
We augment the HAR model with additional information channels to forecast realized volatility of WTI futures prices. These channels include stock markets, sentiment indices, commodity and FX markets, and text-based Google indices. We then apply four differing machine learning techniques to...
Persistent link: https://www.econbiz.de/10013239839
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A Fear Index to Predict Oil Futures Returns
Chevallier, Julien - 2016
This paper evaluates the predictability of WTI light sweet crude oil futures by using the variance risk premium, i.e. the difference between model-free measures of implied and realized volatilities. Additional regressors known for their ability to explain crude oil futures prices are also...
Persistent link: https://www.econbiz.de/10013007386
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Effects of Forecasters Disagreement on the Crude Oil Volatility : A GARCH-MIDAS Approach
Hasselgren, Anton; Hou, Ai Jun; Xu, Caihong; Ye, Xiaoxia - 2022
In this paper, we investigate whether the forecasted crude oil prices from the Survey of Professional Forecasters conducted by the European Central Bank contain information for the Brent crude oil return volatility predictions. With a variety of GARCH-Mixed Data Sampling, i.e., GARCH-MIDAS...
Persistent link: https://www.econbiz.de/10013293598
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A fear index to predict oil futures returns
Chevallier, Julien; Sévi, Benoît - 2013
This paper evaluates the predictability of WTI light sweet crude oil futures by using the variance risk premium, i.e. the difference between model-free measures of implied and realized volatilities. Additional regressors known for their ability to explain crude oil futures prices are also...
Persistent link: https://www.econbiz.de/10010189497
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Crude oil futures trading and uncertainty
Czudaj, Robert L. - 2018
This paper examines the effect of different dimensions of uncertainty on expectations of WTI crude oil futures momentum traders at a daily level. We consider two concepts of uncertainty and two momentum trading indicators based on technical analysis. In addition, we also use wavelet techniques...
Persistent link: https://www.econbiz.de/10011979326
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Speculation in Commodity Futures Markets, Inventories and the Price of Crude Oil
Byun, Sung Je - 2021
This paper examines the role of inventories in refiners' gasoline production and develops a structural model of the …
Persistent link: https://www.econbiz.de/10013314658
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Time-frequency moment interdependence of equity, oil, and gold markets during the COVID-19 pandemic
Ahmed, Walid M. A.; Sleem, Mohamed A. E. - In: Cogent economics & finance 10 (2022) 1, pp. 1-30
Like no other calamitous event in recent memory, the COVID-19 pandemic has plunged the world’s financial system into disarray, triggering systemic risk spillovers across markets. In this study, we use 5-minute index futures price data to examine the multiscale interdependence structure of...
Persistent link: https://www.econbiz.de/10013447921
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Model Dynamics and Risk Premia in the Short Term Market for Crude Oil
Larsson, Karl - 2014
This paper investigates model dynamics and risk premia in the short term market for crude oil futures. Stochastic volatility models, with and without jumps, are estimated using data on both futures and option prices. As an economic application we apply the estimated models to the pricing of...
Persistent link: https://www.econbiz.de/10013063074