TY - JOUR
T1 - Forecasting oil price volatility using spillover effects from uncertainty indices
AU - Chatziantoniou, Ioannis
AU - Degiannakis, Stavros
AU - Delis, Panagiotis
AU - Filis, George
PY - 2020/12/18
Y1 - 2020/12/18
N2 - 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.
AB - 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.
KW - Uncertainty
KW - oil price volatility
KW - forecasting accuracy
KW - spillover effects
UR - https://linkinghub.elsevier.com/retrieve/pii/S1544612320316998
U2 - 10.1016/j.frl.2020.101885
DO - 10.1016/j.frl.2020.101885
M3 - Article
SN - 1544-6123
JO - Finance Research Letters
JF - Finance Research Letters
M1 - 101885
ER -