The role of oil futures intraday information on predicting US stock market volatility
This study investigates the role of oil futures price information on forecasting the US stock market volatility using the HAR framework. In-sample results indicate that oil futures intraday information is helpful to increase the predictability. Moreover, compared to the benchmark model, the proposed...
| Main Authors: | , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
KeAi Communications Co., Ltd.
2021-03-01
|
| Series: | Journal of Management Science and Engineering |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2096232020300494 |
| _version_ | 1818870837180104704 |
|---|---|
| author | Yusui Tang Xiao Xiao M.I.M. Wahab Feng Ma |
| author_facet | Yusui Tang Xiao Xiao M.I.M. Wahab Feng Ma |
| author_sort | Yusui Tang |
| collection | DOAJ |
| description | This study investigates the role of oil futures price information on forecasting the US stock market volatility using the HAR framework. In-sample results indicate that oil futures intraday information is helpful to increase the predictability. Moreover, compared to the benchmark model, the proposed models improve their predictive ability with the help of oil futures realized volatility. In particular, the multivariate HAR model outperforms the univariate model. Accordingly, considering the contemporaneous connection is useful to predict the US stock market volatility. Furthermore, these findings are consistent across a variety of robust checks. |
| first_indexed | 2024-12-19T12:13:22Z |
| format | Article |
| id | doaj.art-98b7241bd8df497dba41d6af6ccf1e09 |
| institution | Directory Open Access Journal |
| issn | 2096-2320 |
| language | English |
| last_indexed | 2024-12-19T12:13:22Z |
| publishDate | 2021-03-01 |
| publisher | KeAi Communications Co., Ltd. |
| record_format | Article |
| series | Journal of Management Science and Engineering |
| spelling | doaj.art-98b7241bd8df497dba41d6af6ccf1e092022-12-21T20:22:07ZengKeAi Communications Co., Ltd.Journal of Management Science and Engineering2096-23202021-03-01616474The role of oil futures intraday information on predicting US stock market volatilityYusui Tang0Xiao Xiao1M.I.M. Wahab2Feng Ma3School of Economics & Management, Southwest Jiaotong University, Chengdu, ChinaSchool of Economics & Management, Southwest Jiaotong University, Chengdu, ChinaDepartment of Mechanical and Industrial Engineering, Ryerson University, Toronto, CanadaSchool of Economics & Management, Southwest Jiaotong University, Chengdu, China; Corresponding author. Sichuan University, 24 south Section 1 Ring Road No.1, Chengdu, Sichuan, 610065. China.This study investigates the role of oil futures price information on forecasting the US stock market volatility using the HAR framework. In-sample results indicate that oil futures intraday information is helpful to increase the predictability. Moreover, compared to the benchmark model, the proposed models improve their predictive ability with the help of oil futures realized volatility. In particular, the multivariate HAR model outperforms the univariate model. Accordingly, considering the contemporaneous connection is useful to predict the US stock market volatility. Furthermore, these findings are consistent across a variety of robust checks.http://www.sciencedirect.com/science/article/pii/S2096232020300494Volatility forecastingThe US stock MarketOil market volatilityRealized volatilityDCC model |
| spellingShingle | Yusui Tang Xiao Xiao M.I.M. Wahab Feng Ma The role of oil futures intraday information on predicting US stock market volatility Journal of Management Science and Engineering Volatility forecasting The US stock Market Oil market volatility Realized volatility DCC model |
| title | The role of oil futures intraday information on predicting US stock market volatility |
| title_full | The role of oil futures intraday information on predicting US stock market volatility |
| title_fullStr | The role of oil futures intraday information on predicting US stock market volatility |
| title_full_unstemmed | The role of oil futures intraday information on predicting US stock market volatility |
| title_short | The role of oil futures intraday information on predicting US stock market volatility |
| title_sort | role of oil futures intraday information on predicting us stock market volatility |
| topic | Volatility forecasting The US stock Market Oil market volatility Realized volatility DCC model |
| url | http://www.sciencedirect.com/science/article/pii/S2096232020300494 |
| work_keys_str_mv | AT yusuitang theroleofoilfuturesintradayinformationonpredictingusstockmarketvolatility AT xiaoxiao theroleofoilfuturesintradayinformationonpredictingusstockmarketvolatility AT mimwahab theroleofoilfuturesintradayinformationonpredictingusstockmarketvolatility AT fengma theroleofoilfuturesintradayinformationonpredictingusstockmarketvolatility AT yusuitang roleofoilfuturesintradayinformationonpredictingusstockmarketvolatility AT xiaoxiao roleofoilfuturesintradayinformationonpredictingusstockmarketvolatility AT mimwahab roleofoilfuturesintradayinformationonpredictingusstockmarketvolatility AT fengma roleofoilfuturesintradayinformationonpredictingusstockmarketvolatility |