Zhu, Xuehong; Niu, Zibo; Liu, Yuanyuan; Xu, Gong; … - 2022
futures volatility under high-frequency Heterogeneous Autoregressive (HAR) model specifications. Moreover, considering … structural breaks in crude oil volatility, we extend the HAR-type models with regime switching considerations. We find that … geopolitical risks provides additional information for forecasting the realized volatility of crude oil futures. Further analysis …