Forecasting the Asian stock market volatility: Evidence from WTI and INE oil futures
研究中国INE和WTI原油期货对七个亚洲股市已实现波动率的预测能力，发现INE在高波动期有效，WTI在低波动期对部分指数有用，但对恒生和上证综指均无效。
Abstract This study investigates whether China's crude oil futures (INE) and West Texas Intermediate (WTI) markets hold valuable information for estimating the realized volatility of seven Asian stock markets. This study has several notable findings. First, China's oil futures can trigger forecast accuracy for three equity indices (Nikkei 225, NSEI, and FT Straits Times), whereas WTI helps forecast the volatility of the two indices (KSE 100 and KOSPI). Second, comparing China's crude oil futures with WTI's crude oil futures, we find that the former could be an effective indicator for all seven Asian stock markets during a high‐volatility period, while WTI information is helpful in forecasting the volatility of the KSE 100, NSEI, and FT Strait Times during the low‐volatility period. Further, information of both oil futures is ineffective for the Hang Seng and SSEC equity indices. Our results are robust in several robustness checks, including alternative evaluation methods, recursive window approach, and alternative realized measures, even during the COVID‐19 pandemic.