On realized volatility of crude oil futures markets: Forecasting with exogenous predictors under structural breaks

doi:10.1016/j.eneco.2020.104781

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	On realized volatility of crude oil futures markets: Forecasting with exogenous predictors under structural breaks
	Luo, Jiawen; Ji, Qiang; Klein, Tony; Todorova, Neda; Zhang, Dayong
发表期刊	ENERGY ECONOMICS
摘要	We introduce Infinite Hidden Markov (IHM) models to forecasting realized volatilities of crude oil futures markets with exogenous factors. With these IHM models, we lift the restriction of a pre-defined number of regimes and allow for an unknown number of different parameter regimes and breakpoints. We employ two types of infinite hidden Markov models to accommodate structural breaks incurred by policy changes, exogenous shocks, and other factors. We find that IHM-HAR models outperform all other non-switching variants. In regard to forecasting performance, IHM-HAR models with exogenous factors such as realized volatilities of competing futures markets and the S&P500 are superior model choices for short-term forecasts. For longer-term forecasts, the equity channel shows only little positive impact. Evidence of economic gains in portfolio construction based on IHM-HAR forecasts is provided. (C) 2020 Elsevier B.V. All rights reserved.
	2020
卷号	89
DOI	10.1016/j.eneco.2020.104781
语种	英语
引用统计
文献类型	期刊论文
条目标识符	http://ir.casisd.cn/handle/190111/9765
专题	中国科学院科技战略咨询研究院
推荐引用方式 GB/T 7714	Luo, Jiawen,Ji, Qiang,Klein, Tony,et al. On realized volatility of crude oil futures markets: Forecasting with exogenous predictors under structural breaks[J]. ENERGY ECONOMICS,2020,89.
APA	Luo, Jiawen,Ji, Qiang,Klein, Tony,Todorova, Neda,&Zhang, Dayong.(2020).On realized volatility of crude oil futures markets: Forecasting with exogenous predictors under structural breaks.ENERGY ECONOMICS,89.
MLA	Luo, Jiawen,et al."On realized volatility of crude oil futures markets: Forecasting with exogenous predictors under structural breaks".ENERGY ECONOMICS 89(2020).