预测油价波动：油价不确定性重要吗？

IF 1.8 4区经济学 Q2 BUSINESS, FINANCE

Journal of Futures Markets Pub Date : 2025-05-11 DOI:10.1002/fut.22592

Athanasios Triantafyllou, Nikolaos Vlastakis, Neil Kellard

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引用次数: 0

摘要

本文实证检验了油价不确定性对石油期货市场时变波动率的预测能力。将油价不确定性量化为油价变化的纯不可预测成分，我们发现该指标对原油期货未来9个月的收益波动率具有显著的预测能力。此外，我们的油价不确定性因素优于实际的油价波动。此外，我们的结构向量自回归模型表明，与总需求、石油需求、供应和石油价格波动冲击的影响相比，油价不确定性冲击对石油市场波动的影响在幅度和持久性上都更高。

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Forecasting Oil Price Volatility: Does Oil Price Uncertainty Matter?

In this paper, we empirically examine the predictive power of oil price uncertainty on time-varying volatility in the oil futures market. Quantifying oil price uncertainty as the purely unforecastable component of oil price changes, we find this measure has significant predictive power on the return volatility of crude oil futures for horizons up to 9 months ahead. Moreover, our oil price uncertainty factor outperforms the realized oil price volatility. In addition, our structural vector autoregression model shows that the effect of oil price uncertainty shock on oil-market volatility is higher in magnitude and persistence when compared with the effect of aggregate demand, oil demand, supply, and oil price volatility shocks.

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来源期刊

Journal of Futures Markets BUSINESS, FINANCE-

CiteScore

3.70

自引率

15.80%

发文量

期刊介绍： The Journal of Futures Markets chronicles the latest developments in financial futures and derivatives. It publishes timely, innovative articles written by leading finance academics and professionals. Coverage ranges from the highly practical to theoretical topics that include futures, derivatives, risk management and control, financial engineering, new financial instruments, hedging strategies, analysis of trading systems, legal, accounting, and regulatory issues, and portfolio optimization. This publication contains the very latest research from the top experts.