Forecasting the volatility of crude oil futures: New evidence from jump-induced volatility

Forecasting the volatility of crude oil futures: New evidence from jump-induced volatility

This paper proposes an augmented heterogenous autoregressive (HAR) model with time-varying jumps to forecast the realized volatility (RV) of crude oil futures. Jump-induced volatility of crude oil futures is obtained from a GARCH-jump process, then used to augment the HAR model. The results based on...

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Bibliographic Details
Main Authors: Anupam Dutta, Elie Bouri
Format: Article
Language:English
Published: Elsevier 2024-11-01
Series:Energy Strategy Reviews
Subjects:
Crude oil futures
Realized volatility
Jump-induced volatility
OVX
Leverage effects
HAR-RV models
Online Access:http://www.sciencedirect.com/science/article/pii/S2211467X24002979

Internet

http://www.sciencedirect.com/science/article/pii/S2211467X24002979

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