Is economic policy uncertainty important to forecast the realized volatility of crude oil futures?
Is economic policy uncertainty important to forecast the realized volatility of crude oil futures?
复制标题
经济政策的不确定性对于预测原油期货的实际波动率重要吗？
DOI：
10.1080/00036846.2017.1388909
复制
发表时间：
2018-01-01
影响因子：
2.2
通讯作者：
Liu, Li
中科院分区：
文献类型：
--
作者：
Ma, Feng;Wahab, M. I. M.;Liu, Li
在本研究中，我们首先探讨经济政策不确定性（EPU）指数是否可以提高HAR-RV型模型的预测精度。此外，我们还探讨了如何有效地利用EPU指数在石油期货市场上获得更大的经济价值。为此，本研究提供了一个新的角度设置阈值的EPU，并检查这些阈值是否有助于提高预测精度和经济价值。实证结果表明，HAR-RV型模型，包括EPU可以产生更准确的预测和经济价值。HAR-RV型模型包括阈值以上EPU，可以通过为一系列范围设置特定阈值来进一步提高预测精度并产生更高的经济价值。研究结果强调了EPU的重要性以及在风险管理和投资组合策略中使用EPU的有效方法，这对投资者和政策制定者至关重要。
In this research, we first investigate whether economic policy uncertainty (EPU) index can increase the HAR-RV-type models' forecast accuracy. In addition, we explore how EPU index can be effectively used to gain larger economic values in the oil futures market. To this end, this research provides a new perspective on setting thresholds for EPU and examines whether these thresholds can help improve both the forecast accuracy and economic values. Empirical results suggest that the HAR-RV-type models including EPU can generate more accurate forecasts and economic values. The HAR-RV-type models including above-threshold EPU can further improve the forecast accuracy and yield higher economic values by setting specific thresholds for a range of horizons. The findings highlight the importance of EPU and effective way of using EPU in risk management and portfolio strategies that is crucial for investors and policymakers.