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- W3124486060 abstract "This paper examines the predictive power of oil supply, demand and risk shocks over the realized volatility of intraday oil returns. Utilizing the heterogeneous autoregressive realized volatility (HAR-RV) framework, we show that all shock terms on their own, and particularly financial market driven risk shocks, significantly improve the forecasting performance of the benchmark HAR-RV model, both in- and out-of-sample. Incorporating all three shocks simultaneously in the HAR-RV model yields the largest forecasting gains compared to all other variants of the HAR-RV model, consistently at short-, medium-, and long forecasting horizons. The findings highlight the predictive information captured by disentangled oil price shocks in accurately forecasting oil market volatility, offering a valuable opening for investors and corporations to monitor oil market volatility using information on traded assets at high frequency." @default.
- W3124486060 created "2021-02-01" @default.
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- W3124486060 date "2020-01-01" @default.
- W3124486060 modified "2023-09-27" @default.
- W3124486060 title "The Predictive Power of Oil Price Shocks on Realized Volatility of Oil: A Note" @default.
- W3124486060 hasPublicationYear "2020" @default.
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