price volatility. To address this issue, we find a phenomenon, "momentum of jumps" (MoJ), that the predictive ability of the … jump component is persistent when forecasting the oil futures market volatility. Specifically, we propose a strategy that … according to their recent past forecasting performance. The volatility data are based on the intraday prices of West Texas …

heteroscedasticity (GARCH)-type models to forecast oil price volatility over the time periods from January 02, 1875 to December 31, 1895 … indicate that none of our volatility models can uniformly outperform other models across all six different loss functions … outperformed by other models, with long memory GARCH-type models coming out second best. …

reflected in an increase in oil price volatility and uncertainty, which have relevant implications on the real economy …

paper investigates the impact of EPU on the crude oil return volatility and which EPU index has the most forecasting power … in crude oil market. To this end, we employ the GARCH-MIDAS model which can incorporate lower frequency EPU index … the crude oil return volatility, but the effect is short-lived and the decay period is about one year. Particularly, our …