Forecasting Crude Oil Volatility With Geopolitical Risk: The RSV–MIDAS–GPR Model and Its Economic Value
提出了一个结合地缘政治风险（GPR）和已实现波动率的RSV-MIDAS-GPR模型，用于预测原油期货波动率，发现GPR与波动率正相关，且模型在预测高波动状态和市场动荡时表现更优，经济价值测试表明GPR有助于投资者决策。
ABSTRACT The paper proposes a new integrated realized stochastic volatility–mixed data sampling–geopolitical risk (RSV–MIDAS–GPR) model to model and forecast crude oil futures volatility. The model jointly models returns and the realized measure of volatility, leverages contemporaneous volatility information, and captures the effects of GPR on crude oil futures volatility. The empirical results demonstrate a significant positive correlation between GPR and crude oil futures volatility. Meanwhile, the RSV–MIDAS–GPR model, which incorporates both GPR and realized volatility, exhibits a synergistic effect, leading to a substantial improvement in out‐of‐sample forecasting performance. Furthermore, the model demonstrates notable capability in identifying high‐volatility states and achieves higher forecasting accuracy than competing models during market turmoil. Finally, economic value tests confirm that the inclusion of GPR provides valuable guidance for investor decision‐making. These findings offer both methodological and empirical contributions to the related research field.