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Volatility regimes and jumps in crude oil futures: Uncovering how market shocks trigger extreme comovements

Author

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  • Shi, Haoyu
  • Zheng, Xu
  • Wang, Yuansheng

Abstract

This study investigates how intraday market shocks shape extreme co-movements in crude oil futures, addressing the limited understanding of tail dependence across trading sessions. Existing studies document volatility spillovers across crude oil markets but largely overlook the role of market microstructure and intraday dynamics. Using synchronized 15-minute high-frequency data for INE, Brent, and WTI futures, we examine how price jumps, continuous volatility, and concurrent volatility regimes affect tail dependence. Our results show that daytime tail dependence is mainly driven by regional cojumps while nighttime tail dependence is amplified by continuous volatility under strong global market integration. We further find that concurrent high-volatility states significantly increase downside comovements across markets. These findings highlight how microstructure factors influence extreme risks in different periods and provide guidance for investors designing hedging strategies and for policymakers monitoring market stability under stress.

Suggested Citation

  • Shi, Haoyu & Zheng, Xu & Wang, Yuansheng, 2026. "Volatility regimes and jumps in crude oil futures: Uncovering how market shocks trigger extreme comovements," Economic Modelling, Elsevier, vol. 158(C).
    • Handle: RePEc:eee:ecmode:v:158:y:2026:i:c:s0264999326000611
    DOI: 10.1016/j.econmod.2026.107532
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    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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