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Empirical Economics

Erschienen in:

19.08.2021

United States Oil Fund volatility prediction: the roles of leverage effect and jumps

verfasst von: Chao Liang, Yin Liao, Feng Ma, Bo Zhu

Erschienen in: Empirical Economics | Ausgabe 5/2022

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Abstract

We investigate United States Oil Fund volatility predictions using a mixed data sampling modeling framework. There are several vital findings. First, our in-sample analysis shows that both the leverage effect and intraday jumps have a significant impact on the United States Oil Fund realized volatility. Second, our out-of-sample analyses suggest that incorporating the leverage effect can largely improve the United States Oil Fund realized volatility forecasts. Third, using a portfolio exercise, we show that the improved realized volatility forecasts lead to significantly increased economic values. Our results are confirmed by a wide range of robustness checks.

Vorheriger Artikel External adjustment with a common currency: the case of the euro area

Nächster Artikel Stochastic seasonality in commodity prices: the case of US natural gas

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It is worth mentioning that the MIDAS-RV model does not deal with different observed frequencies for distinct time series, which is different from other MIDAS models (such as the GARCH-MIDAS model). In other words, both the left and right sides of Eq. 1 are daily frequencies.

It is worth mentioning that all variables except negative returns are modeled logarithmically.

The results are consistent for the significance levels of 10% and 50%.

We do not provide the in-sample estimation results for the MIDAS-RV-CJ model, but they are available upon request.

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Titel: United States Oil Fund volatility prediction: the roles of leverage effect and jumps
verfasst von: Chao Liang
Yin Liao
Feng Ma
Bo Zhu
Publikationsdatum: 19.08.2021
Verlag: Springer Berlin Heidelberg
Erschienen in: Empirical Economics / Ausgabe 5/2022
Print ISSN: 0377-7332
Elektronische ISSN: 1435-8921
DOI: https://doi.org/10.1007/s00181-021-02093-5

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