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Overnight Trading Matters!—Volatility Forecast in the Crude Oil Futures Market

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  • Jing Hao
  • Feng He
  • Liyuan Qin

Abstract

This study primarily explores the potential of night‐time trading information to enhance the prediction accuracy of WTI crude oil futures price volatility within the HAR framework. Out‐of‐sample analysis reveals that integrating daily, monthly, or weekly overnight information into the HAR models notably improves their capacity to forecast crude oil futures price volatility. This suggests that overnight information effectively improves forecasting performance. Moreover, we demonstrate that short‐term overnight information possesses predictive power surpassing that of long‐term information. Finally, these findings are robust to the application of the recursive window method and the HAR‐CJ model.

Suggested Citation

  • Jing Hao & Feng He & Liyuan Qin, 2026. "Overnight Trading Matters!—Volatility Forecast in the Crude Oil Futures Market," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 45(4), pages 1511-1528, July.
    • Handle: RePEc:wly:jforec:v:45:y:2026:i:4:p:1511-1528
    DOI: 10.1002/for.70089
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