Volatility regimes and jumps in crude oil futures: Uncovering how market shocks trigger extreme comovements

Abstract

This study investigates how intraday market shocks shape extreme co-movements in crude oil futures, addressing the limited understanding of tail dependence across trading sessions. Existing studies document volatility spillovers across crude oil markets but largely overlook the role of market microstructure and intraday dynamics. Using synchronized 15-minute high-frequency data for INE, Brent, and WTI futures, we examine how price jumps, continuous volatility, and concurrent volatility regimes affect tail dependence. Our results show that daytime tail dependence is mainly driven by regional cojumps while nighttime tail dependence is amplified by continuous volatility under strong global market integration. We further find that concurrent high-volatility states significantly increase downside comovements across markets. These findings highlight how microstructure factors influence extreme risks in different periods and provide guidance for investors designing hedging strategies and for policymakers monitoring market stability under stress.