Forecasting the realized variance of oil-price returns : a disaggregated analysis of the role of uncertainty and geopolitical risk
| dc.contributor.author | Gupta, Rangan | |
| dc.contributor.author | Pierdzioch, Christian | |
| dc.contributor.email | rangan.gupta@up.ac.za | en_US |
| dc.date.accessioned | 2023-03-29T09:28:04Z | |
| dc.date.available | 2023-03-29T09:28:04Z | |
| dc.date.issued | 2022-07 | |
| dc.description.abstract | We contribute to the empirical literature on the predictability of oil-market volatility by comparing the predictive role of aggregate versus several disaggregated metrics of policy-related and equity-market uncertainties of the USA and geopolitical risks for forecasting the future realized volatility of oil-price (WTI) returns over the monthly period from 1985:01 to 2021:08. Using machine-learning techniques, we find that adding the disaggregated metrics to the array of predictors improves the accuracy of forecasts at intermediate and long forecast horizons, and mainly when we use random forests to estimate our forecasting model. | en_US |
| dc.description.department | Economics | en_US |
| dc.description.librarian | hj2023 | en_US |
| dc.description.uri | https://link.springer.com/journal/11356 | en_US |
| dc.identifier.citation | Gupta, R., Pierdzioch, C. Forecasting the realized variance of oil-price returns: a disaggregated analysis of the role of uncertainty and geopolitical risk. Environmental Science and Pollution Research 29, 52070–52082 (2022). https://doi.org/10.1007/s11356-022-19152-8. | en_US |
| dc.identifier.issn | 0944-1344 (print) | |
| dc.identifier.issn | 1614-7499 (online) | |
| dc.identifier.other | 10.1007/s11356-022-19152-8 | |
| dc.identifier.uri | http://hdl.handle.net/2263/90256 | |
| dc.language.iso | en | en_US |
| dc.publisher | Springer | en_US |
| dc.rights | © The Author(s), under exclusive licence to Springer-Verlag GmbH, DE part of Springer Nature 2022. The original publication is available at : http://link.springer.com/journal/11356. | en_US |
| dc.subject | Realized variance | en_US |
| dc.subject | Oil price | en_US |
| dc.subject | Forecasting | en_US |
| dc.subject | Machine learning | en_US |
| dc.subject | Uncertainty | en_US |
| dc.subject | Geopolitical risk | en_US |
| dc.title | Forecasting the realized variance of oil-price returns : a disaggregated analysis of the role of uncertainty and geopolitical risk | en_US |
| dc.type | Postprint Article | en_US |