Forecasting oil price volatility using spillover effects from uncertainty indices

Ioannis Chatziantoniou, Stavros Degiannakis, Panagiotis Delis, George Filis

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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

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