futures and options to hedge their exposure to commodity price and volatility risk; speculators provide liquidity and ask for …

Modeling and forecasting crude oil price volatility is crucial in many financial and investment applications. The main … purpose of this paper is to review and assess the current state of oil market volatility knowledge. It highlights the … properties and characteristics of the oil price volatility that models seek to capture, and discuss the different modeling …

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 … effect in crude oil, while stochastic volatility models examine the series dependence and heavy-tailed distribution. The …

In this paper we propose a stochastic volatility model for crude oil markets that has the particularity to feature a … OVX volatility data. The model characterizes two states: a normal state with low volatility and negative variance premium … and acrisis state with high volatility and positive variance risk premium. The estimated states are consistent with GDP …

This article mainly studies the crude oil volatility index (OVX) forecasting from the perspective of the cross …