Bouri, ElieDemirer, RizaGupta, RanganPierdzioch, Christian2020-10-152020-10-152020-08Bouri, E., Demirer, R., Gupta, R. et al. 2020, 'Infectious diseases, market uncertainty and oil market volatility', Energies, vol. 13, no. 15, art. 4090, pp. 1-8.1996-1073 (online)10.3390/en13164090http://hdl.handle.net/2263/76479We examine the predictive power of a daily newspaper-based index of uncertainty associated with infectious diseases (EMVID) for oil-market volatility. Using the heterogeneous autoregressive realized volatility (HAR-RV) model, we document a positive effect of the EMVID index on the realized volatility of crude oil prices at the highest level of statistical significance, within-sample. Importantly, we show that incorporating EMVID into a forecasting setting significantly improves the forecast accuracy of oil realized volatility at short-, medium-, and long-run horizons. Our findings comprise important implications for investors and risk managers during the unprecedented episode of high uncertainty resulting from the COVID-19 pandemic.en© 2020 by the authors. Licensee: MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license.UncertaintyInfectious diseasesCrude oil realized volatilityForecastingCOVID-19 pandemicHeterogeneous autoregressive realized volatility (HAR-RV)Coronavirus disease 2019 (COVID-19)Article