Please be advised that the site will be down for maintenance on Sunday, September 1, 2024, from 08:00 to 18:00, and again on Monday, September 2, 2024, from 08:00 to 09:00. We apologize for any inconvenience this may cause.
dc.contributor.author | Demirer, Riza![]() |
|
dc.contributor.author | Gupta, Rangan![]() |
|
dc.contributor.author | Pierdzioch, Christian![]() |
|
dc.contributor.author | Shahzad, Syed Jawad Hussain![]() |
|
dc.date.accessioned | 2021-08-31T10:45:32Z | |
dc.date.issued | 2020-12 | |
dc.description.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. | en_ZA |
dc.description.department | Economics | en_ZA |
dc.description.embargo | 2023-09-23 | |
dc.description.librarian | hj2021 | en_ZA |
dc.description.uri | http://www.elsevier.com/locate/resourpol | en_ZA |
dc.identifier.citation | Demirer, R., Gupta, R., Pierdzioch, C. et al. 2020, 'The predictive power of oil price shocks on realized volatility of oil : a note', Resources Policy, vol. 69, art. 101856, pp. 1-8. | en_ZA |
dc.identifier.issn | 0301-4207 (print) | |
dc.identifier.issn | 1873-7641 (online) | |
dc.identifier.other | 10.1016/j.resourpol.2020.101856 | |
dc.identifier.uri | http://hdl.handle.net/2263/81556 | |
dc.language.iso | en | en_ZA |
dc.publisher | Elsevier | en_ZA |
dc.rights | © 2020 Elsevier Ltd. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Resources Policy. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in Resources Policy, vol. 69, art. 101856, pp. 1-8, 2020. doi : 10.1016/j.resourpol.2020.101856. | en_ZA |
dc.subject | Oil price shocks | en_ZA |
dc.subject | Risk shocks | en_ZA |
dc.subject | Oil | en_ZA |
dc.subject | Realized volatility | en_ZA |
dc.subject | Forecasting | en_ZA |
dc.title | The predictive power of oil price shocks on realized volatility of oil : a note | en_ZA |
dc.type | Postprint Article | en_ZA |