Forecasting Oil Price Volatility: Does Oil Price Uncertainty Matter?
研究了油价不确定性对原油期货收益波动性的预测能力，发现其预测效果优于已实现波动率，且对油价波动的影响比需求、供给等冲击更大更持久。
ABSTRACT 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.