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Forecasting oil price volatility using spillover effects from uncertainty indices

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  • Chatziantoniou, Ioannis
  • Degiannakis, Stavros
  • Delis, Panagiotis
  • Filis, George

Abstract

We consider spillovers between oil price volatility and key uncertainty indicators and we extend the applicability of the spillover index beyond economic inference, by generating forecasts of oil price volatility. The paper shows that spillovers do not contain significant predictive information, raising critical questions regarding the usefulness of the spillover index for forecasting exercises at low sampling frequency.

Suggested Citation

  • Chatziantoniou, Ioannis & Degiannakis, Stavros & Delis, Panagiotis & Filis, George, 2021. "Forecasting oil price volatility using spillover effects from uncertainty indices," Finance Research Letters, Elsevier, vol. 42(C).
    • Handle: RePEc:eee:finlet:v:42:y:2021:i:c:s1544612320316998
    DOI: 10.1016/j.frl.2020.101885
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    More about this item

    Keywords

    Uncertainty; oil price volatility; forecasting accuracy; spillover effects;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • Q47 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy Forecasting

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