Generalized Modeling of Oil Futures Volatility Through Uncertainty Indicator Selection: A GARCH–MIDAS–AES Framework
研究了多种不确定性指标对原油期货波动率的影响类型和持续性，利用GARCH-MIDAS-AES模型比较不同场景下的最优指标选择，发现金融不确定性指标在多数情况下预测效果最佳，但全球危机时期全球实际经济活动指数更实用。
ABSTRACT Building on prior literature that has demonstrated the effectiveness of various uncertainty‐related indicators in enhancing the accuracy of crude oil volatility forecasting, this paper first investigates the type and persistence of the impact of changes in these indicators on volatility and then compares these indicators across different scenarios to determine the optimal strategy for their implementation. We employ a more generalized approach by utilizing the GARCH–MIDAS–AES model, which accommodates features that vary with different indicators. The empirical results, based on data from 1997 to 2022, underscore the importance of considering threshold and leverage effects. We also identify two types of impact: directional and nondirectional. Furthermore, among the uncertainty indicators examined, our findings affirm the predictive prowess of the Financial Uncertainty indicator in the majority of cases. However, during periods of global crisis, the Index of Global Real Economic Activity emerges as a more practical choice.