Modelling the volatility of crude oil returns : Jumps and volatility forecasts
Dutta, Anupam; Bouri, Elie; Roubaud, David (2020-07-22)
John Wiley and Sons
22.07.2020
Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi-fe2020101484032
https://urn.fi/URN:NBN:fi-fe2020101484032
Kuvaus
vertaisarvioitu
© 2020 John Wiley & Sons, Ltd. This is the peer reviewed version of the following article: Dutta, A., Bouri, E., Roubaud, D. (2020). Modelling the volatility of crude oil returns: Jumps and volatility forecasts. International Journal of Finance and Economics, 1– 9, which has been published in final form at https://doi.org/10.1002/ijfe.1826. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions.
© 2020 John Wiley & Sons, Ltd. This is the peer reviewed version of the following article: Dutta, A., Bouri, E., Roubaud, D. (2020). Modelling the volatility of crude oil returns: Jumps and volatility forecasts. International Journal of Finance and Economics, 1– 9, which has been published in final form at https://doi.org/10.1002/ijfe.1826. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions.
Tiivistelmä
We contribute to the scarce literature on the oil market volatility index (OVX) by examining the presence of time‐varying jumps in OVX and by assessing the ability of OVX to predict the conditional variance of crude oil returns. Using a GARCH‐jump model, we find evidence that OVX is characterized by jump behaviour that tends to vary over time. Further analysis indicates that accounting for the jump behaviour of OVX helps improve the conditional variance forecasts of crude oil returns. Since the studied features of OVX play a crucial role in asset pricing and risk analyses, our findings have policy implications related to refining volatility prediction models and risk measures.
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