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On the Oil Price Uncertainty

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  • Zied Ftiti and Fredj Jawadi

Abstract

This study focuses on oil price volatility and uncertainty over the period January 1986-December 2018, covering episodes of oil price increases and collapses. Accordingly, in line with Poon and Granger (2003), and Terasvirta and Zhao (2011), we propose three different specifications of stochastic oil volatility: standard stochastic volatility, stochastic volatility moving average, leverage stochastic volatility models. We compute the out-of-sample forecasts for the uncertainty in oil prices using the estimates for these three stochastic oil price volatility models and we discuss its effects. Our findings show that the standard stochastic volatility model outperforms the other two models when focusing on oil price uncertainty. This finding is relevant to better forecast and understand the effects of oil price uncertainty on the real economy.

Suggested Citation

  • Zied Ftiti and Fredj Jawadi, 2019. "On the Oil Price Uncertainty," The Energy Journal, International Association for Energy Economics, vol. 0(Special I).
    • Handle: RePEc:aen:journl:ej40-si2-ftiti
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    Cited by:

    1. Shahbaz, Muhammad & Sheikh, Umaid A. & Tabash, Mosab I. & Jiao, Zhilun, 2024. "Shock transmission between climate policy uncertainty, financial stress indicators, oil price uncertainty and industrial metal volatility: Identifying moderators, hedgers and shock transmitters," Energy Economics, Elsevier, vol. 136(C).
    2. Katsafados, Apostolos G. & Leledakis, George N. & Panagiotou, Nikolaos P. & Pyrgiotakis, Emmanouil G., 2024. "Can central bankers’ talk predict bank stock returns? A machine learning approach," MPRA Paper 122899, University Library of Munich, Germany.
    3. Ciniro A. L. Nametala & Jonas Villela de Souza & Alexandre Pimenta & Eduardo Gontijo Carrano, 2023. "Use of Econometric Predictors and Artificial Neural Networks for the Construction of Stock Market Investment Bots," Computational Economics, Springer;Society for Computational Economics, vol. 61(2), pages 743-773, February.
    4. Anastasiou, Dimitris & Ftiti, Zied & Louhichi, Waël & Rizos, Anastasios & Stratopoulou, Artemis, 2025. "The influence of oil investors' sentiment on inflation dynamics and uncertainty," Energy Economics, Elsevier, vol. 142(C).
    5. Baris Kocaarslan & Ugur Soytas, 2025. "How do the reserve currency and uncertainties in major markets affect the uncertainty of oil prices over time?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 30(2), pages 2016-2041, April.

    More about this item

    JEL classification:

    • F0 - International Economics - - General

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