Forecast on Crude Oil Futures linked with Day-of-the-week Effect

Crude oil future is crucial to global financial markets. Even if many scholars pay attention to research those factors that can influence the price of crude oil future, the existing literature still rarely considers the impacts of the day-of-the-week effect on the volatility of crude oil future price. Based on heterogeneous autoregressive (HAR) theory, we create a new type of heterogeneous autoregressive (HAR) model by introducing a day-of-the-week effect to forecast the future volatility of the crude oil future prices. The empirical results indicate that the new models' accuracy is better than the original HAR model. And we find that the day-of-the-week effect has a significantly negative influence on crude oil futures' price volatility, especially in the short-term and the long-term. Our work is the first to introduce the day-of-the-week effect to identify more crude oil future market information. This paper provides a better forecasting method to study crude oil future volatility.