Investors’ perspective on forecasting crude oil return volatility: Where do we stand today?
In this paper, we review studies of oil volatility prediction from a new perspective: that of investors who require economic evaluations of forecasting performance. Our results indicate that no single volatility model outperforms all of the competing models, of which GARCH and realized volatility mo...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
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KeAi Communications Co., Ltd.
2022-09-01
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| Series: | Journal of Management Science and Engineering |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2096232021000664 |
| _version_ | 1818495605033402368 |
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| author | Li Liu Qianjie Geng Yaojie Zhang Yudong Wang |
| author_facet | Li Liu Qianjie Geng Yaojie Zhang Yudong Wang |
| author_sort | Li Liu |
| collection | DOAJ |
| description | In this paper, we review studies of oil volatility prediction from a new perspective: that of investors who require economic evaluations of forecasting performance. Our results indicate that no single volatility model outperforms all of the competing models, of which GARCH and realized volatility models are the most popular. Most studies evaluate forecasting performance using two criteria: value at risk and hedging effectiveness. Parameter instability and model uncertainty are technical issues that affect out-of-sample performance. Most studies assess volatility forecasts from the perspectives of portfolio management and derivative pricing. Whether oil volatility can predict economic variables and the asset pricing implications of oil volatility for financial markets are important topics that require attention. |
| first_indexed | 2024-12-10T18:22:52Z |
| format | Article |
| id | doaj.art-ae53280766cb49acb2cd7c64d9f57f97 |
| institution | Directory Open Access Journal |
| issn | 2096-2320 |
| language | English |
| last_indexed | 2024-12-10T18:22:52Z |
| publishDate | 2022-09-01 |
| publisher | KeAi Communications Co., Ltd. |
| record_format | Article |
| series | Journal of Management Science and Engineering |
| spelling | doaj.art-ae53280766cb49acb2cd7c64d9f57f972022-12-22T01:38:10ZengKeAi Communications Co., Ltd.Journal of Management Science and Engineering2096-23202022-09-0173423438Investors’ perspective on forecasting crude oil return volatility: Where do we stand today?Li Liu0Qianjie Geng1Yaojie Zhang2Yudong Wang3School of Finance, Nanjing Auditing University, Nanjing, 211815, ChinaSchool of Economics and Management, Nanjing University of Science and Technology, Nanjing, 210094, ChinaSchool of Economics and Management, Nanjing University of Science and Technology, Nanjing, 210094, ChinaSchool of Economics and Management, Nanjing University of Science and Technology, Nanjing, 210094, China; Corresponding author.In this paper, we review studies of oil volatility prediction from a new perspective: that of investors who require economic evaluations of forecasting performance. Our results indicate that no single volatility model outperforms all of the competing models, of which GARCH and realized volatility models are the most popular. Most studies evaluate forecasting performance using two criteria: value at risk and hedging effectiveness. Parameter instability and model uncertainty are technical issues that affect out-of-sample performance. Most studies assess volatility forecasts from the perspectives of portfolio management and derivative pricing. Whether oil volatility can predict economic variables and the asset pricing implications of oil volatility for financial markets are important topics that require attention.http://www.sciencedirect.com/science/article/pii/S2096232021000664Oil volatilityOut-of-sample forecastingEconomic predictabilityEvaluation criteria |
| spellingShingle | Li Liu Qianjie Geng Yaojie Zhang Yudong Wang Investors’ perspective on forecasting crude oil return volatility: Where do we stand today? Journal of Management Science and Engineering Oil volatility Out-of-sample forecasting Economic predictability Evaluation criteria |
| title | Investors’ perspective on forecasting crude oil return volatility: Where do we stand today? |
| title_full | Investors’ perspective on forecasting crude oil return volatility: Where do we stand today? |
| title_fullStr | Investors’ perspective on forecasting crude oil return volatility: Where do we stand today? |
| title_full_unstemmed | Investors’ perspective on forecasting crude oil return volatility: Where do we stand today? |
| title_short | Investors’ perspective on forecasting crude oil return volatility: Where do we stand today? |
| title_sort | investors perspective on forecasting crude oil return volatility where do we stand today |
| topic | Oil volatility Out-of-sample forecasting Economic predictability Evaluation criteria |
| url | http://www.sciencedirect.com/science/article/pii/S2096232021000664 |
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