Oil price volatility forecasting
Futures based forecasts: How useful are they for oil price volatility forecasting?
... on oil price volatility forecasting, as we show below, is that they do not assess the usefulness of the futures-based ...spot oil price through the price for oil ...
30
FORECASTING OIL PRICE VOLATILITY
... of volatility in oil prices is the fact that current stocks can be stored for consumption in the future but future production cannot be “borrowed” to meet immediate ...a price increase in a given ...
67
Forecasting oil price realized volatility: A new approach
... exact forecasting strategy is detailed in the Section ...Crude oil the models use data that belong to the information set at time t and thus, they are known to the forecaster at the time of the ...
43
Does long memory matter in forecasting oil price volatility?
... and forecasting Ira n’s crude oil price ...in forecasting the price of this ...crude oil price data, the long memory feature will be considered in the return and ...
17
Forecasting the Price of Oil
... in volatility in 2001/02 and 2003, whereas the spikes in the GARCH volatility estimate are much smaller and occur only with a ...in oil price volatility, defined in this manner, would ...
120
Forecasting the Price of Oil
... in volatility in 2001/02 and 2003, whereas the spikes in the GARCH volatility estimate are much smaller and occur only with a ...in oil price volatility, defined in this manner, would ...
118
Can spillover effects provide forecasting gains? The case of oil price volatility
... We consider spillovers between oil price volatility and key uncertainty indicators. Adding to existing studies, we extend the applicability of the spillover index beyond economic inference, by ...
10
Forecasting the Price of Crude Oil: - The Predictive Power of Futures Prices and Realized Volatility
... longer forecasting horizons futures contracts, or models combining futures contracts and the no-change forecast, emerge as better predictors of the future spot price of crude ...
38
Volatility forecasting across tanker freight rates: The role of oil price shocks
... an oil price increase due to an unexpected increase in the global real economic activity may cause a boost in the demand in the shipping market for transportation of oil as the world’s production ...
36
Volatility forecasting across tanker freight rates: the role of oil price shocks
... included oil price as an exogenous variable in a GARCH-X setting (Kavussanos, 1996a; Drobetz et ...being oil and oil products and the unique stylized facts of tanker freight rates which are ...
35
Oil and Methanol Price volatility
... However, one of the basic points that has been ignored in econometric analyses, which affects the accuracy of forecasts, is the behavior and the type of time series data; this issue is vital because in some cases, a ...
10
Forecasting crude oil futures volatility
... implied volatility as an informationally efficient forecast of the volatility that will prevail in the underlying futures throughout the option's ...the price of an option is based on option pricing ...
81
Modeling and forecasting the oil volatility index
... crude oil ETF volatility index ...the volatility of future oil ...of oil prices ...of oil price changes on the economy. Second, we test the forecasting performance ...
22
Volatility forecasting for crude oil futures
... more price volatility in 2005, pushing the highs higher and the lows ...the oil futures that are used to make a bet on oil prices have become a bona fide investment,” said Charles O’Donnell, ...
33
Oil Price Volatility and Stock Markets
... of oil returns cannot be attributed to these variables, since they are ...lagged oil returns and picks a maximum for a lag of 6 trading ...because oil price forecasting power tends to ...
53
A Hybrid Approach for Forecasting of Oil Prices Volatility
... Source: Findings of Study As seen in the table 1, the return series of crude oil price has the mean of 0.000667 and standard deviation of 0.0215 in the sample period suggesting that it has been highly ...
22
Forecasting oil price realized volatility using information channels from other asset classes
... the forecasting performance of the HAR-RV-Asset Class models, as well as, the HAR- RV-COMBINED and HAR-RV-AVERAGE ...the forecasting horizon ...the forecasting error, in terms of MAE, by more than ...
53
Modeling and Forecasting the Volatility of the Export Price of Sesame in Ethiopia
... export price of sesame as well as its volatility in Ethiopia using ARIMA and GARCH family ...export price of sesame, food price index, fuel oil price and exchange rate from ...
7
Oil price volatility and U.S. macroeconomic activity
... squared oil price change as a proxy for oil price volatility and report the results in Table ...5. Oil price variance by itself is not significant ( χ 2 test statistic in ...
16
IMPACT PARAMETERS ON THE VOLATILITY OF THE WORLD OIL PRICE
... the oil crises of the 1970s and the dramatic price drop in the mid-1980s forecasting the oil price development has been a major challenge for energy economists ...in oil prices ...
10