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Forecasting Oil Price Volatility: Does Oil Price Uncertainty Matter?

Author

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  • A. Triantafyllou

    (Audencia Business School)

  • N. Vlastakis
  • N. Kellard

Abstract

In this paper, we empirically examine the predictive power of oil price uncertainty on time‐varying volatility in the oil futures market. Quantifying oil price uncertainty as the purely unforecastable component of oil price changes, we find this measure has significant predictive power on the return volatility of crude oil futures for horizons up to 9 months ahead. Moreover, our oil price uncertainty factor outperforms the realized oil price volatility. In addition, our structural vector autoregression model shows that the effect of oil price uncertainty shock on oil‐market volatility is higher in magnitude and persistence when compared with the effect of aggregate demand, oil demand, supply, and oil price volatility shocks.

Suggested Citation

  • A. Triantafyllou & N. Vlastakis & N. Kellard, 2025. "Forecasting Oil Price Volatility: Does Oil Price Uncertainty Matter?," Post-Print hal-05302705, HAL.
    • Handle: RePEc:hal:journl:hal-05302705
    DOI: 10.1002/fut.22592
    Note: View the original document on HAL open archive server: https://hal.science/hal-05302705v1
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