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Newspaper-based equity uncertainty or implied volatility index: new evidence from oil market volatility predictability

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  • Xinjie Lu
  • Feng Ma
  • Pan Li
  • Tao Li

Abstract

This article investigates two equity-oriented market volatility measures, newspaper-based equity market volatility (EMV) index and COBE-implied volatility index (VIX), which contain more predictive contents for the oil futures market based on a Markov regime-switching method. We find that both EMV and VIX contain valuable content for the oil market. Interestingly, the predictive performance of the model containing both EMV and regime switching is better than that of the model containing VIX and regime switching, further showing that EMV can be more powerful than VIX for oil futures volatility when considering regime switching. Our study tries to provide new insight into the oil futures market.

Suggested Citation

  • Xinjie Lu & Feng Ma & Pan Li & Tao Li, 2023. "Newspaper-based equity uncertainty or implied volatility index: new evidence from oil market volatility predictability," Applied Economics Letters, Taylor & Francis Journals, vol. 30(7), pages 960-964, April.
    • Handle: RePEc:taf:apeclt:v:30:y:2023:i:7:p:960-964
    DOI: 10.1080/13504851.2022.2030459
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