dc.contributor.author |
Salisu, Afees A.
|
|
dc.contributor.author |
Gupta, Rangan
|
|
dc.contributor.author |
Bouri, Elie
|
|
dc.contributor.author |
Ji, Qiang
|
|
dc.date.accessioned |
2022-09-23T11:49:26Z |
|
dc.date.issued |
2022-01 |
|
dc.description |
Data availability statement: The energy data that support the findings of this study
are available from the corresponding author upon reasonable request. The global economic conditions index is
available online from: https://sites.google.com/site/cjsbaumeister/research. |
en_US |
dc.description.abstract |
This paper subjects six alternative indicators of global economic activity to empirically examine their relative predictive powers in the forecast of crude oil market volatility. GARCH-MIDAS approach is constructed to accommodate all the relevant series at their available data frequencies, thereby circumventing information loss and any associated bias. We find evidence in support of global economic activity as a good predictor of energy market volatility. Our forecast evaluation of the various indicators places a higher weight on the newly developed indicator of global economic activity which is based on a set of 16 variables covering multiple dimensions of the global economy, whereas other indicators do not seem to capture. Furthermore, we find that accounting for any inherent asymmetry in the global economic activity proxies improves the forecast accuracy of the GARCH-MIDAS-X model for oil volatility. The results leading to these conclusions are robust to multiple forecast horizons and consistent across alternative energy sources. |
en_US |
dc.description.department |
Economics |
en_US |
dc.description.embargo |
2023-06-04 |
|
dc.description.librarian |
hj2022 |
en_US |
dc.description.sponsorship |
National Natural Science Foundation of
China. |
en_US |
dc.description.uri |
http://wileyonlinelibrary.com/journal/for |
en_US |
dc.identifier.citation |
Salisu, A. A., Gupta, R.,
Bouri, E., & Ji, Q. (2022). Mixed-frequency
forecasting of crude oil volatility based on the
information content of global economic conditions.
Journal of Forecasting, 41(1), 134–157. https://doi.org/10.1002/for.2800. |
en_US |
dc.identifier.issn |
0277-6693 (print) |
|
dc.identifier.issn |
1099-131X (online) |
|
dc.identifier.other |
10.1002/for.2800 |
|
dc.identifier.uri |
https://repository.up.ac.za/handle/2263/87330 |
|
dc.language.iso |
en |
en_US |
dc.publisher |
Wiley |
en_US |
dc.rights |
© 2021 John Wiley & Sons, Ltd. This is the pre-peer reviewed version of the following article : Mixed-frequency
forecasting of crude oil volatility based on the
information content of global economic conditions.
Journal of Forecasting, 41(1), 134–157, 2022. https://doi.org/10.1002/for.2800. The definite version is available at : http://wileyonlinelibrary.com/journal/for. |
en_US |
dc.subject |
Energy markets volatility |
en_US |
dc.subject |
GARCH-MIDAS model |
en_US |
dc.subject |
Global economic conditions |
en_US |
dc.subject |
Mixed frequency |
en_US |
dc.title |
Mixed-frequency forecasting of crude oil volatility based on the information content of global economic conditions |
en_US |
dc.type |
Postprint Article |
en_US |