Forecasting oil price volatility using spillover effects from uncertainty indices

Ioannis Chatziantoniou, Stavros Degiannakis, Panagiotis Delis, George Filis

    Research output: Contribution to journalArticlepeer-review

    93 Downloads (Pure)

    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.
    Original languageEnglish
    Article number101885
    JournalFinance Research Letters
    Early online date18 Dec 2020
    DOIs
    Publication statusEarly online - 18 Dec 2020

    Keywords

    • Uncertainty
    • oil price volatility
    • forecasting accuracy
    • spillover effects

    Fingerprint

    Dive into the research topics of 'Forecasting oil price volatility using spillover effects from uncertainty indices'. Together they form a unique fingerprint.

    Cite this