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Global economic policy uncertainty and oil futures volatility prediction

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  • Zhao, Ling

Abstract

This paper mainly investigates whether the information of global policy uncertainty index (GEPU) index can predict oil futures volatility based on MIDAS-type models. The results show that GEPU can efficiently predict oil futures volatility. In addition, the MIDAS model with regime switching and GEPU can further improve the forecasting accuracy of the models. This paper tries to provide new evidence of global economic policy uncertainty for oil futures volatility.

Suggested Citation

  • Zhao, Ling, 2023. "Global economic policy uncertainty and oil futures volatility prediction," Finance Research Letters, Elsevier, vol. 54(C).
    • Handle: RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323000673
    DOI: 10.1016/j.frl.2023.103693
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    1. Wangfang Xu & Wenjia Rao & Longbao Wei & Qianqian Wang, 2023. "A Normalized Global Economic Policy Uncertainty Index from Unsupervised Machine Learning," Mathematics, MDPI, vol. 11(15), pages 1-10, July.

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