Forecasting oil price volatility using spillover effects from uncertainty indices

Ioannis Chatziantoniou, Stavros Degiannakis, Panagiotis Delis, George Filis

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    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
    Publication statusEarly online - 18 Dec 2020


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


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