El Niño and forecastability of oil-price realized volatility
| dc.contributor.author | Bouri, Elie | |
| dc.contributor.author | Gupta, Rangan | |
| dc.contributor.author | Pierdzioch, Christian | |
| dc.contributor.author | Salisu, Afees A. | |
| dc.contributor.email | rangan.gupta@up.ac.za | en_US |
| dc.date.accessioned | 2022-09-21T05:14:18Z | |
| dc.date.available | 2022-09-21T05:14:18Z | |
| dc.date.issued | 2021-05 | |
| dc.description.abstract | We forecast monthly realized volatility (RV) of the oil price based on an extended heterogenous autoregressive (HAR)- RV model that incorporates the role of the El Nino Southern Oscillation (ENSO), as captured by the Equatorial Southern ˜ Oscillation Index (EQSOI). Based on the period covering 1986 January to 2020 December and studying various rollingestimation windows and forecast horizons, we find that the EQSOI has predictive value for oil-price RV particularly at forecast horizons from 2 to 4 years, and for rolling-estimation windows of length 4 to 6 years. We show that this result holds not only based on standard tests of out-of-sample predictability, but also under an asymmetric loss function. | en_US |
| dc.description.department | Economics | en_US |
| dc.description.librarian | dm2022 | en_US |
| dc.description.sponsorship | Open Access funding enabled and organized by Projekt DEAL. | en_US |
| dc.description.uri | http://link.springer.com/journal/704 | en_US |
| dc.identifier.citation | Bouri, E., Gupta, R., Pierdzioch, C. et al. El Niño and forecastability of oil-price realized volatility. Theoretical and Applied Climatology 144, 1173–1180 (2021). https://doi.org/10.1007/s00704-021-03569-1. | en_US |
| dc.identifier.issn | 0177-798X (print) | |
| dc.identifier.issn | 1434-4483 (online) | |
| dc.identifier.other | 10.1007/s00704-021-03569-1 | |
| dc.identifier.uri | https://repository.up.ac.za/handle/2263/87238 | |
| dc.language.iso | en | en_US |
| dc.publisher | Springer | en_US |
| dc.rights | © The Author(s) 2021. Open Access. This article is licensed under a Creative Commons Attribution 4.0 International License. | en_US |
| dc.subject | Realized volatility forecast | en_US |
| dc.subject | Oil price | en_US |
| dc.subject | Heterogenous autoregressive (HAR)-RV model | en_US |
| dc.subject | El Niño Southern Oscillation (ENSO) | en_US |
| dc.subject | Equatorial Southern Oscillation Index (EQSOI) | en_US |
| dc.title | El Niño and forecastability of oil-price realized volatility | en_US |
| dc.type | Article | en_US |