Gupta, RanganPierdzioch, Christian2022-02-182022-02-182021-07-10Gupta, R.; Pierdzioch, C. Forecasting the Volatility of Crude Oil: The Role of Uncertainty and Spillovers. Energies 2021, 14, 4173. https://DOI.org/10.3390/en14144173.1996-1073 (online)10.3390/en14144173http://hdl.handle.net/2263/84047We use a dataset for the group of G7 countries and China to study the out-of-sample predictive value of uncertainty and its international spillovers for the realized variance of crude oil (West Texas Intermediate and Brent) over the sample period from 1996Q1 to 2020Q4. Using the Lasso estimator, we found evidence that uncertainty and international spillovers had predictive value for the realized variance at intermediate (two quarters) and long (one year) forecasting horizons in several of the forecasting models that we studied. This result holds also for upside (good) and downside (bad) variance, and irrespective of whether we used a recursive or a rolling estimation window. Our results have important implications for investors and policymakers.en© 2021 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.UncertaintySpilloversRealized varianceCrude oilForecastingArticle