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Crude oil volatility forecasting: New evidence from world uncertainty index

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  • Yao, Zhigang
  • Liu, Yao

Abstract

In this study, we use the prevailing GARCH-MIDAS model to explore the forecasting performance of world uncertainty index (WUI) in crude oil volatility. Our empirical results indicate the WUI can outperform the economic policy uncertainty (EPU) and geopolitical risk index (GPR). Using the encompassing test, our study provides strong evidences that the predictive content from WUI can encompass the EPU and GPR in predicting crude oil volatility.

Suggested Citation

  • Yao, Zhigang & Liu, Yao, 2023. "Crude oil volatility forecasting: New evidence from world uncertainty index," Finance Research Letters, Elsevier, vol. 58(PA).
    • Handle: RePEc:eee:finlet:v:58:y:2023:i:pa:s1544612323004014
    DOI: 10.1016/j.frl.2023.104029
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